An Introduction To Probability Theory

An introduction to probability theory
Christel Geiss and Stefan Geiss
February 19, 2004

2
Contents
1 Probability spaces 7
1.1 Definition of σ-algebras . . . . . . . . . . . . . . . . . . . . . . 8
1.2 Probability measures . . . . . . . . . . . . . . . . . . . . . . . 12
1.3 Examples of distributions . . . . . . . . . . . . . . . . . . . . 20
1.3.1 Binomial distribution with parameter 0 < p < 1 . . . . 20
1.3.2 Poisson distribution with parameter λ > 0 . . . . . . . 21
1.3.3 Geometric distribution with parameter 0 < p < 1 . . . 21
1.3.4 Lebesgue measure and uniform distribution . . . . . . 21
1.3.5 Gaussian distribution on R with mean m ∈ R and
variance σ 2 > 0 . . . . . . . . . . . . . . . . . . . . . . 22
1.3.6 Exponential distribution on R with parameter λ > 0 . 22
1.3.7 Poisson’s Theorem . . . . . . . . . . . . . . . . . . . . 24
1.4 A set which is not a Borel set . . . . . . . . . . . . . . . . . . 25
2 Random variables 29
2.1 Random variables . . . . . . . . . . . . . . . . . . . . . . . . . 29
2.2 Measurable maps . . . . . . . . . . . . . . . . . . . . . . . . . 31
2.3 Independence . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
3 Integration 39
3.1 Definition of the expected value . . . . . . . . . . . . . . . . . 39
3.2 Basic properties of the expected value . . . . . . . . . . . . . . 42
3.3 Connections to the Riemann-integral . . . . . . . . . . . . . . 48
3.4 Change of variables in the expected value . . . . . . . . . . . . 49
3.5 Fubini’s Theorem . . . . . . . . . . . . . . . . . . . . . . . . . 51
3.6 Some inequalities . . . . . . . . . . . . . . . . . . . . . . . . . 58
4 Modes of convergence 63
4.1 Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
4.2 Some applications . . . . . . . . . . . . . . . . . . . . . . . . . 64
3
4 CONTENTS
Introduction
The modern period of probability theory is connected with names like S.N.
Bernstein (1880-1968), E. Borel (1871-1956), and A.N. Kolmogorov (1903-
1987). In particular, in 1933 A.N. Kolmogorov published his modern ap-
proach of Probability Theory, including the notion of a measurable space
and a probability space. This lecture will start from this notion, to continue
with random variables and basic parts of integration theory, and to finish
with some first limit theorems.
The lecture is based on a mathematical axiomatic approach and is intended
for students from mathematics, but also for other students who need more
mathematical background for their further studies. We assume that the
integration with respect to the Riemann-integral on the real line is known.
The approach, we follow, seems to be in the beginning more difficult. But
once one has a solid basis, many things will be easier and more transparent
later. Let us start with an introducing example leading us to a problem
which should motivate our axiomatic approach.
Example. We would like to measure the temperature outside our home.

We can do this by an electronic thermometer which consists of a sensor
outside and a display, including some electronics, inside. The number we get
from the system is not correct because of several reasons. For instance, the
calibration of the thermometer might not be correct, the quality of the power-
supply and the inside temperature might have some impact on the electronics.
It is impossible to describe all these sources of uncertainty explicitly. Hence
one is using probability. What is the idea?
Let us denote the exact temperature by T and the displayed temperature
by S, so that the difference T − S is influenced by the above sources of
uncertainty. If we would measure simultaneously, by using thermometers of
the same type, we would get values S1 , S2 , ... with corresponding differences
D1 := T − S1 , D2 := T − S2 , D3 := T − S3 , ...
Intuitively, we get random numbers D1 , D2 , ... having a certain distribution.

How to develop an exact mathematical theory out of this?
Firstly, we take an abstract set Ω. Each element ω ∈ Ω will stand for a
specific configuration of our outer sources influencing the measured value.
5
6 CONTENTS
Secondly, we take a function

f :Ω→R
which gives for all ω the difference f (ω) = T − S. From properties of this
function we would like to get useful information of our thermometer and, in
particular, about the correctness of the displayed values. So far, the things
are purely abstract and at the same time vague, so that one might wonder if
this could be helpful. Hence let us go ahead with the following questions:
Step 1: How to model the randomness of ω, or how likely an ω is? We do
this by introducing the probability spaces in Chapter 1.
Step 2: What mathematical properties of f we need to transport the ran-
domness from ω to f (ω)? This yields to the introduction of the random
variables in Chapter 2.
Step 3: What are properties of f which might be important to know in
practice? For example the mean-value and the variance, denoted by
Ef and E(f − Ef )2.
If the first expression is 0, then the calibration of the thermometer is right,
if the second one is small the displayed values are very likely close to the real
temperature. To define these quantities one needs the integration theory
developed in Chapter 3.
Step 4: Is it possible to describe the distributions the values of f may take?
Or before, what do we mean by a distribution? Some basic distributions are
discussed in Section 1.3.
Step 5: What is a good method to estimate Ef ? We can take a sequence of
independent (take this intuitive for the moment) random variables f1 , f2 , ...,
having the same distribution as f , and expect that
n
fi (ω) and Ef
1X
n i=1
are close to each other. This yields us to the strong law of large numbers
discussed in Section 4.2.
Notation. Given a set Ω and subsets A, B ⊆ Ω, then the following notation

is used:
intersection: A ∩ B = {ω ∈ Ω : ω ∈ A and ω ∈ B}
union: A ∪ B = {ω ∈ Ω : ω ∈ A or (or both) ω ∈ B}
set-theoretical minus: A\B = {ω ∈ Ω : ω ∈ A and ω 6∈ B}
complement: Ac = {ω ∈ Ω : ω 6∈ A}
empty set: ∅ = set, without any element
real numbers: R
natural numbers: N = {1, 2, 3, ...}
rational numbers: Q
Given real numbers α, β, we use α ∧ β := min {α, β}.
Chapter 1
Probability spaces
In this chapter we introduce the probability space, the fundamental notion

of probability theory. A probability space (Ω, F, P) consists of three compo-
nents.
(1) The elementary events or states ω which are collected in a non-empty

set Ω.
Example 1.0.1 (a) If we roll a die, then all possible outcomes are the
numbers between 1 and 6. That means
Ω = {1, 2, 3, 4, 5, 6}.
(b) If we flip a coin, then we have either ”heads” or ”tails” on top, that
means
Ω = {H, T }.
If we have two coins, then we would get
Ω = {(H, H), (H, T ), (T, H), (T, T )}.
(c) For the lifetime of a bulb in hours we can choose
Ω = [0, ∞).
(2) A σ-algebra F, which is the system of observable subsets of Ω. Given

ω ∈ Ω and some A ∈ F, one can not say which concrete ω occurs, but one
can decide whether ω ∈ A or ω 6∈ A. The sets A ∈ F are called events: an
event A occurs if ω ∈ A and it does not occur if ω 6∈ A.
Example 1.0.2 (a) The event ”the die shows an even number” can be
described by
A = {2, 4, 6}.
7
8 CHAPTER 1. PROBABILITY SPACES
(b) ”Exactly one of two coins shows heads” is modeled by
A = {(H, T ), (T, H)}.
(c) ”The bulb works more than 200 hours” we express via
A = (200, ∞).
(3) A measure P, which gives a probability to any event A ⊆ Ω, that

means to all A ∈ F.
Example 1.0.3 (a) We assume that all outcomes for rolling a die are
equally likely, that is
P({ω}) = 16 .
Then
P({2, 4, 6}) = 12 .
(b) If we assume we have two fair coins, that means they both show head
and tail equally likely, the probability that exactly one of two coins
shows head is
P({(H, T ), (T, H)}) = 21 .
(c) The probability of the lifetime of a bulb we will consider at the end of
Chapter 1.
For the formal mathematical approach we proceed in two steps: in a first

step we define the σ-algebras F, here we do not need any measure. In a
second step we introduce the measures.
1.1 Definition of σ-algebras

The σ-algebra is a basic tool in probability theory. It is the set the proba-
bility measures are defined on. Without this notion it would be impossible
to consider the fundamental Lebesgue measure on the interval [0, 1] or to
consider Gaussian measures, without which many parts of mathematics can
not live.
Definition 1.1.1 [σ-algebra, algebra, measurable space] Let Ω be

a non-empty set. A system F of subsets A ⊆ Ω is called σ-algebra on Ω if
(1) ∅, Ω ∈ F,
(2) A ∈ F implies that Ac := Ω\A ∈ F,

1.1. DEFINITION OF σ-ALGEBRAS 9
S∞
(3) A1 , A2 , ... ∈ F implies that i=1 Ai ∈ F.
The pair (Ω, F), where F is a σ-algebra on Ω, is called measurable space.

If one replaces (3) by
(30 ) A, B ∈ F implies that A ∪ B ∈ F,
then F is called an algebra.
Every σ-algebra is an algebra. Sometimes, the terms σ-field and field are
used instead of σ-algebra and algebra. We consider some first examples.
Example 1.1.2 [σ-algebras]
(a) The largest σ-algebra on Ω: if F = 2Ω is the system of all subsets

A ⊆ Ω, then F is a σ-algebra.
(b) The smallest σ-algebra: F = {Ω, ∅}.
(c) If A ⊆ Ω, then F = {Ω, ∅, A, Ac } is a σ-algebra.
If Ω = {ω1 , ..., ωn }, then any algebra F on Ω is automatically a σ-algebra.

However, in general this is not the case. The next example gives an algebra,
which is not a σ-algebra:
Example 1.1.3 [algebra, which is not a σ-algebra] Let G be the

system of subsets A ⊆ R such that A can be written as
A = (a1 , b1 ] ∪ (a2 , b2 ] ∪ · · · ∪ (an , bn ]
where −∞ ≤ a1 ≤ b1 ≤ · · · ≤ an ≤ bn ≤ ∞ with the convention that

(a, ∞] = (a, ∞). Then G is an algebra, but not a σ-algebra.
Unfortunately, most of the important σ–algebras can not be constructed

explicitly. Surprisingly, one can work practically with them nevertheless. In
the following we describe a simple procedure which generates σ–algebras. We
start with the fundamental
Proposition 1.1.4 [intersection of σ-algebras is a σ-algebra] Let

Ω be an arbitrary non-empty set and let Fj , j ∈ J, J 6= ∅, be a family of
σ-algebras on Ω, where J is an arbitrary index set. Then
\
F := Fj
j∈J
is a σ-algebra as well.
Proof. The proof is very easy, but typical and T fundamental. First we notice
T ∅, Ω ∈ Fj for all j ∈ J, so that ∅, Ω ∈ j∈J Fj . Now let A, A1 , A2 , ... ∈
that
j∈J Fj . Hence A, A1 , A2 , ... ∈ Fj for all j ∈ J, so that (Fj are σ–algebras!)
∞
[
c
A = Ω\A ∈ Fj and Ai ∈ F j
i=1
for all j ∈ J. Consequently,

\ ∞
[ \
c
A ∈ Fj and Ai ∈ Fj .
j∈J i=1 j∈J
Proposition 1.1.5 [smallest σ-algebra containing a set-system]

Let Ω be an arbitrary non-empty set and G be an arbitrary system of subsets
A ⊆ Ω. Then there exists a smallest σ-algebra σ(G) on Ω such that
G ⊆ σ(G).
Proof. We let
J := {C is a σ–algebra on Ω such that G ⊆ C} .
According to Example 1.1.2 one has J 6= ∅, because
G ⊆ 2Ω
and 2Ω is a σ–algebra. Hence

\
σ(G) := C
C∈J
yields to a σ-algebra according to Proposition 1.1.4 such that (by construc-

tion) G ⊆ σ(G). It remains to show that σ(G) is the smallest σ-algebra
containing G. Assume another σ-algebra F with G ⊆ F. By definition of J
we have that F ∈ J so that
\
σ(G) = C ⊆ F.
C∈J

The construction is very elegant but has, as already mentioned, the slight
disadvantage that one cannot explicitly construct all elements of σ(G). Let
us now turn to one of the most important examples, the Borel σ-algebra on
R. To do this we need the notion of open and closed sets.
1.1. DEFINITION OF σ-ALGEBRAS 11
Definition 1.1.6 [open and closed sets]

(1) A subset A ⊆ R is called open, if for each x ∈ A there is an ε > 0
such that (x − ε, x + ε) ⊆ A.
(2) A subset B ⊆ R is called closed, if A := R\B is open.
It should be noted, that by definition the empty set ∅ is open and closed.
Proposition 1.1.7 [Generation of the Borel σ-algebra on R] We

let
G0 be the system of all open subsets of R,
G1 be the system of all closed subsets of R,
G2 be the system of all intervals (−∞, b], b ∈ R,
G3 be the system of all intervals (−∞, b), b ∈ R,
G4 be the system of all intervals (a, b], −∞ < a < b < ∞,
G5 be the system of all intervals (a, b), −∞ < a < b < ∞.
Then σ(G0 ) = σ(G1 ) = σ(G2 ) = σ(G3 ) = σ(G4 ) = σ(G5 ).
Definition 1.1.8 [Borel σ-algebra on R] The σ-algebra constructed in

Proposition 1.1.7 is called Borel σ-algebra and denoted by B(R).
Proof of Proposition 1.1.7. We only show that
σ(G0 ) = σ(G1 ) = σ(G3 ) = σ(G5 ).
Because of G3 ⊆ G0 one has
σ(G3 ) ⊆ σ(G0 ).
Moreover, for −∞ < a < b < ∞ one has that

∞
[ 1
(a, b) = (−∞, b)\(−∞, a + ) ∈ σ(G3 )
n=1
n
so that G5 ⊆ σ(G3 ) and

σ(G5 ) ⊆ σ(G3 ).
Now let us assume a bounded non-empty open set A ⊆ R. For all x ∈ A
there is a maximal εx > 0 such that
(x − εx , x + εx ) ⊆ A.
Hence [
A= (x − εx , x + εx ),
x∈A∩ Q
which proves G0 ⊆ σ(G5 ) and
σ(G0 ) ⊆ σ(G5 ).
Finally, A ∈ G0 implies Ac ∈ G1 ⊆ σ(G1 ) and A ∈ σ(G1 ). Hence G0 ⊆ σ(G1 )

and
σ(G0 ) ⊆ σ(G1 ).
The remaining inclusion σ(G1 ) ⊆ σ(G0 ) can be shown in the same way.
1.2 Probability measures

Now we introduce the measures we are going to use:
Definition 1.2.1 [probability measure, probability space] Let

(Ω, F) be a measurable space.
(1) A map µ : F → [0, ∞] is called measure if µ(∅) = 0 and for all
A1 , A2 , ... ∈ F with Ai ∩ Aj = ∅ for i 6= j one has
∞
[ ∞
X
µ Ai = µ(Ai ). (1.1)
i=1 i=1
The triplet (Ω, F, µ) is called measure space.
(2) A measure space (Ω, F, µ) or a measure µ is called σ-finite provided

that there are Ωk ⊆ Ω, k = 1, 2, ..., such that
(a) Ωk ∈ F for all k = 1, 2, ...,

(b) Ωi ∩ Ωj = ∅ for i 6= j,
(c) Ω = ∞
S
k=1 Ωk ,
(d) µ(Ωk ) < ∞.
The measure space (Ω, F, µ) or the measure µ are called finite if

µ(Ω) < ∞.
(3) A measure space (Ω, F, µ) is called probability space and µ proba-

bility measure provided that µ(Ω) = 1.
Example 1.2.2 [Dirac and counting measure]
(a) Dirac measure: For F = 2Ω and a fixed x0 ∈ Ω we let

1 : x0 ∈ A
δx0 (A) := .
0 : x0 6∈ A
1.2. PROBABILITY MEASURES 13
(b) Counting measure: Let Ω := {ω1 , ..., ωN } and F = 2Ω . Then
µ(A) := cardinality of A.
Let us now discuss a typical example in which the σ–algebra F is not the set
of all subsets of Ω.
Example 1.2.3 Assume there are n communication channels between the

points A and B. Each of the channels has a communication rate of ρ > 0
(say ρ bits per second), which yields to the communication rate ρk, in case
k channels are used. Each of the channels fails with probability p, so that
we have a random communication rate R ∈ {0, ρ, ..., nρ}. What is the right
model for this? We use
Ω := {ω = (ε1 , ..., εn ) : εi ∈ {0, 1})
with the interpretation: εi = 0 if channel i is failing, εi = 1 if channel i is

working. F consists of all possible unions of
Ak := {ω ∈ Ω : ε1 + · · · + εn = k} .
Hence Ak consists of all ω such that the communication rate is ρk. The
system F is the system of observable sets of events since one can only observe
how many channels are failing, but not which channels are failing. The
measure P is given by

P(Ak ) := nk pn−k (1 − p)k , 0 < p < 1.
Note that P describes the binomial distribution with parameter p on
{0, ..., n} if we identify Ak with the natural number k.
We continue with some basic properties of a probability measure.
Proposition 1.2.4 Let (Ω, F, P) be a probability space. Then the following

assertions are true:
(1) Without assuming that P(∅) = 0 the σ-additivity (1.1) implies that
P(∅) = 0.
If A1 , ..., An ∈ F such that Ai ∩ Aj = ∅ if i 6= j, then
(2) P P (Sni=1 Ai) =
i=1 P (Ai ).
n
(3) If A, B ∈ F, then P(A\B) = P(A) − P(A ∩ B).

(4) If B ∈ Ω, then P(B c ) = 1 − P(B).
If A1 , A2 , ... ∈ F then P ( ∞ i=1 P (Ai ).

S P∞
(5) i=1 Ai ) ≤
(6) Continuity from below: If A1 , A2 , ... ∈ F such that A1 ⊆ A2 ⊆

A3 ⊆ · · · , then
∞
!
lim P(An ) = P
[
An .
n→∞
n=1
(7) Continuity from above: If A1 , A2 , ... ∈ F such that A1 ⊇ A2 ⊇

A3 ⊇ · · · , then
∞
!
lim P(An ) = P
\
An .
n→∞
n=1
Proof. (1) Here one has for An := ∅ that

∞
! ∞ ∞
P(∅) = P P (An) = P (∅) ,
[ X X
An =
n=1 n=1 n=1
so that P(∅) = 0 is the only solution.

(2) We let An+1 = An+2 = · · · = ∅, so that
n
! ∞
! ∞ n
P Ai = P Ai = P (Ai) = P (Ai) ,
[ [ X X
i=1 i=1 i=1 i=1
because of P(∅) = 0.
(3) Since (A ∩ B) ∩ (A\B) = ∅, we get that
P(A ∩ B) + P(A\B) = P ((A ∩ B) ∪ (A\B)) = P(A).
(4) We apply (3) to A = Ω and observe that Ω\B = B c by definition and
Ω ∩ B = B.
(5) Put B1 := A1 and Bi := Ac1 ∩Ac2 ∩· · ·∩Aci−1 ∩Ai for i = 2, 3, . . . Obviously,
P(Bi) ≤ P(Ai) for all i. Since the Bi’s are disjoint and S∞i=1 Ai = S∞i=1 Bi it
follows
∞
! ∞
! ∞ ∞
P Ai = P Bi = P(Bi) ≤ P(Ai).
[ [ X X
i=1 i=1 i=1 i=1
(6) We define B1 := A1 , B2 := A2 \A1 , B3 := A3 \A2 , B4 := A4 \A3 , ... and

get that
[∞ ∞
[
Bn = An and Bi ∩ Bj = ∅
n=1 n=1
for i 6= j. Consequently,
∞
! ∞
! ∞ N
P An = P P (Bn) = lim P (Bn) = lim P(AN )
[ [ X X
Bn =
N →∞ N →∞
n=1 n=1 n=1 n=1
SN
since n=1 Bn = AN . (7) is an exercise.
Definition 1.2.5 [lim inf n An and lim supn An ] Let (Ω, F) be a measurable
space and A1 , A2 , ... ∈ F. Then
∞ \
[ ∞ ∞ [
\ ∞
lim inf An := Ak and lim sup An := Ak .
n n
n=1 k=n n=1 k=n
The definition above says that ω ∈ lim inf n An if and only if all events An ,
except a finite number of them, occur, and that ω ∈ lim supn An if and only
if infinitely many of the events An occur.
Definition 1.2.6 [lim inf n ξn and lim supn ξn ] For ξ1 , ξ2 , ... ∈ R we let
lim inf ξn := lim inf ξk and lim sup ξn := lim sup ξk .

n n k≥n n n k≥n
Remark 1.2.7 (1) The value lim inf n ξn is the infimum of all c such that
there is a subsequence n1 < n2 < n3 < · · · such that limk ξnk = c.
(2) The value lim supn ξn is the supremum of all c such that there is a
subsequence n1 < n2 < n3 < · · · such that limk ξnk = c.
(3) By definition one has that
−∞ ≤ lim inf ξn ≤ lim sup ξn ≤ ∞.

n n
(4) For example, taking ξn = (−1)n , gives
lim inf ξn = −1 and lim sup ξn = 1.

n n
Proposition 1.2.8 [Lemma of Fatou] Let (Ω, F, P) be a probability space

and A1 , A2 , ... ∈ F. Then

P lim inf An ≤ lim inf P (An) ≤ lim sup P (An) ≤ P lim sup An .

n n n n
The proposition will be deduced from Proposition 3.2.6 below.
Definition 1.2.9 [independence of events] Let (Ω, F, P) be a proba-

bility space. The events A1 , A2 , ... ∈ F are called independent, provided
that for all n and 1 ≤ k1 < k2 < · · · < kn one has that
P (Ak 1 ∩ Ak2 ∩ · · · ∩ Akn ) = P (Ak1 ) P (Ak2 ) · · · P (Akn ) .

One can easily see that only demanding
P (A1 ∩ A2 ∩ · · · ∩ An) = P (A1) P (A2) · · · P (An) .

would not make much sense: taking A and B with
P(A ∩ B) 6= P(A)P(B)
and C = ∅ gives
P(A ∩ B ∩ C) = P(A)P(B)P(C),
which is surely not, what we had in mind.
Definition 1.2.10 [conditional probability] Let (Ω, F, P) be a prob-

ability space, A ∈ F with P(A) > 0. Then
P(B|A) := P(B ∩ A)
P(A) , for B ∈ F,
is called conditional probability of B given A.
As a first application let us consider the Bayes’ formula. Before we formulate

this formula in Proposition 1.2.12 we consider A, B ∈ F, with 0 < P(B) < 1
and P(A) > 0. Then
A = (A ∩ B) ∪ (A ∩ B c ),
where (A ∩ B) ∩ (A ∩ B c ) = ∅, and therefore,
P(A) = P(A ∩ B) + P(A ∩ B c)

= P(A|B)P(B) + P(A|B c)P(B c).
This implies
P(B|A) = P(B ∩ A)
P(A) =
P(A|B)P(B)
P(A)
P(A|B)P(B)
=
P(A|B)P(B) + P(A|B c)P(B c) .
Let us consider an
Example 1.2.11 A laboratory blood test is 95% effective in detecting a

certain disease when it is, in fact, present. However, the test also yields a
”false positive” result for 1% of the healthy persons tested. If 0.5% of the
population actually has the disease, what is the probability a person has the
disease given his test result is positive? We set
B := ”person has the disease”,

A := ”the test result is positive”.
Hence we have
P(A|B) = P(”a positive test result”|”person has the disease”) = 0.95,

P(A|B c) = 0.01,
P(B) = 0.005.
Applying the above formula we get
P(B|A) = 0.95 × 0.005

0.95 × 0.005
+ 0.01 × 0.995
≈ 0.323.
That means only 32% of the persons whose test results are positive actually
have the disease.
Proposition 1.2.12 [Bayes’ formula] Assume A, Bj ∈ F, with Ω =

j=1 Bj , with Bi ∩ Bj = ∅ for i 6= j and P(A) > 0, P(Bj ) > 0 for
Sn
j = 1, . . . , n. Then
P(Bj |A) = PnP(A|Bj )P(Bj )

P(A|B )P(B ) .
k=1 k k
The proof is an exercise.
Proposition 1.2.13 [Lemma of Borel-Cantelli] Let (Ω, F, P) be a

probability space and A1 , A2 , ... ∈ F. Then one has the following:
(1) If ∞ n=1 P(An ) < ∞, then P (lim supn→∞ An ) = 0.

P
n=1 P(An ) = ∞, then

(2) If A1 , A2 , ... are assumed to be independent and ∞
P
P (lim supn→∞ An) = 1.
T∞ S∞
Proof. (1) It holds by definition lim supn→∞ An = n=1 k=n Ak . By
∞
[ ∞
[
Ak ⊆ Ak
k=n+1 k=n
and the continuity of P from above (see Proposition 1.2.4) we get

∞ [
∞
!
P P
\
lim sup An = Ak
n→∞
n=1 k=n
∞
!
P
[
= lim Ak
n→∞
k=n
∞
P (Ak ) = 0,
X
≤ lim
n→∞
k=n
where the last inequality follows from Proposition 1.2.4.

(2) It holds that
c [∞ \∞
c
lim sup An = lim inf An = Acn .
n n
n=1 k=n
So, we would need to show that

∞ \
∞
!
P
[
Acn = 0.
n=1 k=n
T∞
Letting Bn := k=n Ack we get that B1 ⊆ B2 ⊆ B3 ⊆ · · · , so that
∞ \∞
!
P An = lim P(Bn )
[
c
n→∞
n=1 k=n
so that it suffices to show that

∞
!
P(Bn) = P
\
Ack = 0.
k=n
Since the independence of A1 , A2 , ... implies the independence of Ac1 , Ac2 , ...,
we finally get (setting pn := P(An )) that
∞
! N
!
P lim P
\ \
c c
Ak = Ak
N →∞,N ≥n
k=n k=n
N
P (Ack )
Y
= lim
N →∞,N ≥n
k=n
YN
= lim (1 − pk )
N →∞,N ≥n
k=n
YN
≤ lim e−pn
N →∞,N ≥n
k=n
− N
P
= lim e k=n pn
N →∞,N ≥n
− ∞
P
= e k=n pn
= e−∞
= 0
where we have used that 1 − x ≤ e−x for x ≥ 0.
Although the definition of a measure is not difficult, to prove existence and

uniqueness of measures may sometimes be difficult. The problem lies in the
fact that, in general, the σ-algebras are not constructed explicitly, one only
knows its existence. To overcome this difficulty, one usually exploits
Proposition 1.2.14 [Carathéodory’s extension theorem]

Let Ω be a non-empty set and G be an algebra on Ω such that
F := σ(G).
Assume that P0 : G → [0, 1] satisfies:

(1) P0(Ω) = 1.
S∞
(2) If A1 , A2 , ... ∈ F, Ai ∩ Aj = ∅ for i 6= j, and i=1 Ai ∈ G, then
∞ ∞
P0 P0(Ai).
[ X
Ai =
i=1 i=1
Then there exists a unique probability measure P on F such that

P(A) = P0(A) for all A ∈ G.
Proof. See [3] (Theorem 3.1).
As an application we construct (more or less without rigorous proof) the

product space
(Ω1 × Ω2 , F1 ⊗ F2 , P1 × P2 )
of two probability spaces (Ω1 , F1 , P1 ) and (Ω2 , F2 , P2 ). We do this as follows:
(1) Ω1 × Ω2 := {(ω1 , ω2 ) : ω1 ∈ Ω1 , ω2 ∈ Ω2 }.
(2) F1 ⊗ F2 is the smallest σ-algebra on Ω1 × Ω2 which contains all sets of

type
A1 × A2 := {(ω1 , ω2 ) : ω1 ∈ A1 , ω2 ∈ A2 } with A1 ∈ F1 , A2 ∈ F2 .
(3) As algebra G we take all sets of type
A := A11 × A12 ∪ · · · ∪ (An1 × An2 )

with Ak1 ∈ F1 , Ak2 ∈ F2 , and (Ai1 × Ai2 ) ∩ Aj1 × Aj2 = ∅ for i 6= j.

Finally, we define µ : G → [0, 1] by

n
P1(Ak1 )P2(Ak2 ).
X
A11 A12 (An1 An2 )

µ × ∪ ··· ∪ × :=
k=1
Definition 1.2.15 [product of probability spaces] The extension of

µ to F1 ×F2 according to Proposition 1.2.14 is called product measure and
usually denoted by P1 × P2 . The probability space (Ω1 ×Ω2 , F1 ⊗F2 , P1 × P2 )
is called product probability space.
One can prove that
(F1 ⊗ F2 ) ⊗ F3 = F1 ⊗ (F2 ⊗ F3 ) and (P1 ⊗ P2 ) ⊗ P3 = P1 ⊗ (P2 ⊗ P3 ).
Using this approach we define the the Borel σ-algebra on Rn.

Definition 1.2.16 For n ∈ {1, 2, ...} we let
B(Rn ) := B(R) ⊗ · · · ⊗ B(R).
There is a more natural approach to define the Borel σ-algebra on Rn : it is

the smallest σ-algebra which contains all sets which are open which are open
with respect to the euclidean metric in Rn . However to be efficient, we have
chosen the above one.
If one is only interested in the uniqueness of measures one can also use the
following approach as a replacement of Carathéodory’s extension theo-
rem:
Definition 1.2.17 [π-system] A system G of subsets A ⊆ Ω is called π-

system, provided that
A∩B ∈G for all A, B ∈ G.
Proposition 1.2.18 Let (Ω, F) be a measurable space with F = σ(G), where

G is a π-system. Assume two probability measures P1 and P2 on F such that
P1(A) = P2(A) for all A ∈ G.
Then P1(B) = P2(B) for all B ∈ F.
1.3 Examples of distributions

1.3.1 Binomial distribution with parameter 0 < p < 1
(1) Ω := {0, 1, ..., n}.
(2) F := 2Ω (system of all subsets of Ω).
(3) P(B) = µn,p (B) := nk=0 nk pk (1 − p)n−k δk (B), where δk is the Dirac
P
measure introduced in Definition 1.2.2.
Interpretation: Coin-tossing with one coin, such that one has head with
probability p and tail with probability 1 − p. Then µn,p ({k}) is equals the
probability, that within n trials one has k-times head.
1.3. EXAMPLES OF DISTRIBUTIONS 21
1.3.2 Poisson distribution with parameter λ > 0

(1) Ω := {0, 1, 2, 3, ...}.
(3) P(B) = πλ (B) := ∞ −λ λk

P
k=0 e δ (B).
k! k
The Poisson distribution is used for example to model jump-diffusion pro-

cesses: the probability that one has k jumps between the time-points s and
t with 0 ≤ s < t < ∞, is equal to πλ(t−s) ({k}).
1.3.3 Geometric distribution with parameter 0 < p < 1

(1) Ω := {0, 1, 2, 3, ...}.
(3) P(B) = µp (B) := ∞ k
P
k=0 (1 − p) pδk (B).
Interpretation: The probability that an electric light bulb breaks down

is p ∈ (0, 1). The bulb does not have a ”memory”, that means the break
down is independent of the time the bulb is already switched on. So, we
get the following model: at day 0 the probability of breaking down is p. If
the bulb survives day 0, it breaks down again with probability p at the first
day so that the total probability of a break down at day 1 is (1 − p)p. If we
continue in this way we get that breaking down at day k has the probability
(1 − p)k p.
1.3.4 Lebesgue measure and uniform distribution

Using Carathéodory’s extension theorem, we shall construct the Lebesgue
measure on compact intervals [a, b] and on R. For this purpose we let
(1) Ω := [a, b], −∞ < a < b < ∞,
(2) F = B([a, b]) := {B = A ∩ [a, b] : A ∈ B(R)}.
(3) As generating algebra G for B([a, b]) we take the system of subsets
A ⊆ [a, b] such that A can be written as
A = (a1 , b1 ] ∪ (a2 , b2 ] ∪ · · · ∪ (an , bn ]
or
A = {a} ∪ (a1 , b1 ] ∪ (a2 , b2 ] ∪ · · · ∪ (an , bn ]
where a ≤ a1 ≤ b1 ≤ · · · ≤ an ≤ bn ≤ b. For such a set A we let
∞
! ∞
[ X
λ0 (ai , bi ] := (bi − ai ).
i=1 i=1
Definition 1.3.1 [Lebesgue measure] The unique extension of λ0 to

B([a, b]) according to Proposition 1.2.14 is called Lebesgue measure and
denoted by λ.
R
We also write λ(B) = B
dλ(x). Letting
P(B) := b −1 a λ(B) for B ∈ B([a, b]),
we obtain the uniform distribution on [a, b]. Moreover, the Lebesgue

measure can be uniquely extended to a σ-finite measure λ on B(R) such that
λ((a, b]) = b − a for all −∞ < a < b < ∞.
1.3.5 Gaussian distribution on R with mean m ∈ R and

variance σ 2 > 0
(1) Ω := R.
(2) F := B(R) Borel σ-algebra.
(3) We take the algebra G considered in Example 1.1.3 and define

n Z bi
P0(A) := 1
X (x−m)2
√ e− 2σ 2 dx
i=1 ai 2πσ 2
for A := (a1 , b1 ]∪(a2 , b2 ]∪· · ·∪(an , bn ] where we consider the Riemann-

integral on the right-hand side. One can show (we do not do this here,
but compare with Proposition 3.5.8 below) that P0 satisfies the assump-
tions of Proposition 1.2.14, so that we can extend P0 to a probability
measure Nm,σ2 on B(R).
The measure Nm,σ2 is called Gaussian distribution (normal distribu-

tion) with mean m and variance σ 2 . Given A ∈ B(R) we write
Z
1 (x−m)2
Nm,σ2 (A) = pm,σ2 (x)dx with pm,σ2 (x) := √ e− 2σ2 .
A 2πσ 2
The function pm,σ2 (x) is called Gaussian density.
1.3.6 Exponential distribution on R with parameter

λ>0
(1) Ω := R.
(2) F := B(R) Borel σ-algebra.

1.3. EXAMPLES OF DISTRIBUTIONS 23
(3) For A and G as in Subsection 1.3.5 we define

n Z bi
P0(A) :=
X
pλ (x)dx with pλ (x) := 1I[0,∞) (x)λe−λx
i=1 ai
Again, P0 satisfies the assumptions of Proposition 1.2.14, so that we

can extend P0 to the exponential distribution µλ with parameter λ
and density pλ (x) on B(R).
Given A ∈ B(R) we write

Z
µλ (A) = pλ (x)dx.
A
The exponential distribution can be considered as a continuous time version

of the geometric distribution. In particular, we see that the distribution does
not have a memory in the sense that for a, b ≥ 0 we have
µλ ([a + b, ∞)|[a, ∞)) = µλ ([b, ∞)),
where we have on the left-hand side the conditional probability. In words: the
probability of a realization larger or equal to a + b under the condition that
one has already a value larger or equal a is the same as having a realization
larger or equal b. Indeed, it holds
µλ ([a + b, ∞) ∩ [a, ∞))

µλ ([a + b, ∞)|[a, ∞)) =
µλ ([a, ∞))
R ∞ −λx
λ a+b e dx
= R∞
λ a e−λx dx
e−λ(a+b)
=
e−λa
= µλ ([b, ∞)).
Example 1.3.2 Suppose that the amount of time one spends in a post office
1
is exponential distributed with λ = 10 .
(a) What is the probability, that a customer will spend more than 15 min-
utes?
(b) What is the probability, that a customer will spend more than 15 min-
utes in the post office, given that she or he is already there for at least
10 minutes?
1
The answer for (a) is µλ ([15, ∞)) = e−15 10 ≈ 0.220. For (b) we get
1
µλ ([15, ∞)|[10, ∞)) = µλ ([5, ∞)) = e−5 10 ≈ 0.604.
1.3.7 Poisson’s Theorem

For large n and small p the Poisson distribution provides a good approxima-
tion for the binomial distribution.
Proposition 1.3.3 [Poisson’s Theorem] Let λ > 0, pn ∈ (0, 1), n =

1, 2, ..., and assume that npn → λ as n → ∞. Then, for all k = 0, 1, . . . ,
µn,pn ({k}) → πλ ({k}), n → ∞.
Proof. Fix an integer k ≥ 0. Then

n k
µn,pn ({k}) = pn (1 − pn )n−k
k
n(n − 1) . . . (n − k + 1) k
= pn (1 − pn )n−k
k!
1 n(n − 1) . . . (n − k + 1)
= k
(npn )k (1 − pn )n−k .
k! n
Of course, limn→∞ (npn )k = λk and limn→∞ n(n−1)...(n−k+1)

nk
= 1. So we have
n−k −λ
to show that limn→∞ (1 − pn ) = e . By npn → λ we get that there exist
εn such that
npn = λ + εn with lim εn = 0.
n→∞
Choose ε0 > 0 and n0 ≥ 1 such that |εn | ≤ ε0 for all n ≥ n0 . Then

n−k n−k n−k
λ + ε0 λ + εn λ − ε0
1− ≤ 1− ≤ 1− .
n n n
Using l’Hospital’s rule we get
n−k
λ + ε0 λ + ε0
lim ln 1 − = lim (n − k) ln 1 −
n→∞ n n→∞ n
λ+ε0

ln 1 − n
= lim
n→∞ 1/(n − k)
−1 λ+ε
1 − λ+ε
n
0
n2
0
= lim
n→∞ −1/(n − k)2
= −(λ + ε0 ).
Hence
n−k n−k
−(λ+ε0 ) λ + ε0 λ + εn
e = lim 1− ≤ lim 1− .
n→∞ n n→∞ n
In the same way we get
n−k
λ + εn
lim 1− ≤ e−(λ−ε0 ) .
n→∞ n
1.4. A SET WHICH IS NOT A BOREL SET 25
Finally, since we can choose ε0 > 0 arbitrarily small

n−k
λ + εn
lim (1 − pn )n−k
= lim 1 − = e−λ .
n→∞ n→∞ n

1.4 A set which is not a Borel set

In this section we shall construct a set which is a subset of (0, 1] but not an
element of
B((0, 1]) := {B = A ∩ (0, 1] : A ∈ B(R)} .
Before we start we need
Definition 1.4.1 [λ-system] A class L is a λ-system if

(1) Ω ∈ L,
(2) A, B ∈ L and A ⊆ B imply B\A ∈ L,
S∞
(3) A1 , A2 , · · · ∈ L and An ⊆ An+1 , n = 1, 2, . . . imply n=1 An ∈ L.
Proposition 1.4.2 [π-λ-Theorem] If P is a π-system and L is a λ-

system, then P ⊆ L implies σ(P) ⊆ L.
Definition 1.4.3 [equivalence relation] An relation ∼ on a set X is

called equivalence relation if and only if
(1) x ∼ x for all x ∈ X (reflexivity),
(2) x ∼ y implies x ∼ y for x, y ∈ X (symmetry),
(3) x ∼ y and y ∼ z imply x ∼ z for x, y, z ∈ X (transitivity).
Given x, y ∈ (0, 1] and A ⊆ (0, 1], we also need the addition modulo one

x+y if x + y ∈ (0, 1]
x ⊕ y :=
x + y − 1 otherwise
and
A ⊕ x := {a ⊕ x : a ∈ A}.
Now define
L := {A ∈ B((0, 1]) such that

A ⊕ x ∈ B((0, 1]) and λ(A ⊕ x) = λ(A) for all x ∈ (0, 1]}.
Lemma 1.4.4 L is a λ-system.
Proof. The property (1) is clear since Ω ⊕ x = Ω. To check (2) let A, B ∈ L

and A ⊆ B, so that
λ(A ⊕ x) = λ(A) and λ(B ⊕ x) = λ(B).
We have to show that B \ A ∈ L. By the definition of ⊕ it is easy to see that

A ⊆ B implies A ⊕ x ⊆ B ⊕ x and
(B ⊕ x) \ (A ⊕ x) = (B \ A) ⊕ x,
and therefore, (B \ A) ⊕ x ∈ B((0, 1]). Since λ is a probability measure it

follows
λ(B \ A) = λ(B) − λ(A)

= λ(B ⊕ x) − λ(A ⊕ x)
= λ((B ⊕ x) \ (A ⊕ x))
= λ((B \ A) ⊕ x)
and B\A ∈ L. Property (3) is left as an exercise.

Finally, we need the axiom of choice.
Proposition 1.4.5 [Axiom of choice] Let I be a set and (Mα )α∈I be a

system of non-empty sets Mα . Then there is a function ϕ on I such that
ϕ : α → m α ∈ Mα .
In other words, one can form a set by choosing of each set Mα a representative
mα .
Proposition 1.4.6 There exists a subset H ⊆ (0, 1] which does not belong
to B((0, 1]).
Proof. If (a, b] ⊆ [0, 1], then (a, b] ∈ L. Since
P := {(a, b] : 0 ≤ a < b ≤ 1}
is a π-system which generates B((0, 1]) it follows by the π-λ-Theorem 1.4.2

that
B((0, 1]) ⊆ L.
Let us define the equivalence relation
x∼y if and only if x⊕r =y for some rational r ∈ (0, 1].
Let H ⊆ (0, 1] be consisting of exactly one representative point from each

equivalence class (such set exists under the assumption of the axiom of
1.4. A SET WHICH IS NOT A BOREL SET 27
choice). Then H ⊕ r1 and H ⊕ r2 are disjoint for r1 6= r2 : if they were

not disjoint, then there would exist h1 ⊕ r1 ∈ (H ⊕ r1 ) and h2 ⊕ r2 ∈ (H ⊕ r2 )
with h1 ⊕ r1 = h2 ⊕ r2 . But this implies h1 ∼ h2 and hence h1 = h2 and
r1 = r2 . So it follows that (0, 1] is the countable union of disjoint sets
[
(0, 1] = (H ⊕ r).
r∈(0,1] rational
If we assume that H ∈ B((0, 1]) then

 
[ X
λ((0, 1]) = λ  (H ⊕ r) = λ(H ⊕ r).
r∈(0,1] rational r∈(0,1] rational
By B((0, 1]) ⊆ L we have λ(H ⊕ r) = λ(H) = a ≥ 0 for all rational numbers

r ∈ (0, 1]. Consequently,
X
1 = λ((0, 1]) = λ(H ⊕ r) = a + a + . . .
r∈(0,1] rational
So, the right hand side can either be 0 (if a = 0) or ∞ (if a > 0). This leads
to a contradiction, so H 6∈ B((0, 1]).
Chapter 2
Random variables
Given a probability space (Ω, F, P), in many stochastic models one considers
functions f : Ω → R, which describe certain random phenomena, and is
interested in the computation of expressions like
P ({ω ∈ Ω : f (ω) ∈ (a, b)}) , where a < b.
This yields us to the condition
{ω ∈ Ω : f (ω) ∈ (a, b)} ∈ F
and hence to random variables we introduce now.
2.1 Random variables

We start with the most simple random variables.
Definition 2.1.1 [(measurable) step-function] Let (Ω, F) be a mea-
surable space. A function f : Ω → R is called measurable step-function
or step-function, provided that there are α1 , ..., αn ∈ R and A1 , ..., An ∈ F
such that f can be written as
n
X
f (ω) = αi 1IAi (ω),
i=1
where
1 : ω ∈ Ai
1IAi (ω) := .
0 : ω 6∈ Ai
Some particular examples for step-functions are

1IΩ = 1,
1I∅ = 0,
1IA + 1IAc = 1,
1IA∩B = 1IA 1IB ,
1IA∪B = 1IA + 1IB − 1IA∩B .
29
30 CHAPTER 2. RANDOM VARIABLES
The definition above concerns only functions which take finitely many values,
which will be too restrictive in future. So we wish to extend this definition.
Definition 2.1.2 [random variables] Let (Ω, F) be a measurable space.

A map f : Ω → R is called random variable provided that there is a
n=1 of measurable step-functions fn : Ω → R such that
sequence (fn )∞
f (ω) = lim fn (ω) for all ω ∈ Ω.
n→∞
Does our definition give what we would like to have? Yes, as we see from
Proposition 2.1.3 Let (Ω, F) be a measurable space and let f : Ω → R be

a function. Then the following conditions are equivalent:
(1) f is a random variable.
(2) For all −∞ < a < b < ∞ one has that
f −1 ((a, b)) := {ω ∈ Ω : a < f (ω) < b} ∈ F.
Proof. (1) =⇒ (2) Assume that

f (ω) = lim fn (ω)
n→∞
where fn : Ω → R are measurable step-functions. For a measurable step-

function one has that
fn−1 ((a, b)) ∈ F
so that
n o
f −1 ((a, b)) = ω ∈ Ω : a < lim fn (ω) < b
n
∞ ∞ ∞
[ [ \ 1 1
= ω ∈Ω:a+ < fn (ω) < b − ∈ F.
m=1 N =1 n=N
m m
(2) =⇒ (1) First we observe that we also have that

f −1 ([a, b)) = {ω ∈ Ω : a ≤ f (ω) < b}
∞
\ 1
= ω ∈Ω:a− < f (ω) < b ∈ F
m=1
m
so that we can use the step-functions

n −1
4X
k
fn (ω) := 1I k k+1 (ω).
k=−4n
2n { 2n ≤f < 2n }

Sometimes the following proposition is useful which is closely connected to
Proposition 2.1.3.
2.2. MEASURABLE MAPS 31
Proposition 2.1.4 Assume a measurable space (Ω, F) and a sequence of

random variables fn : Ω → R such that f (ω) := limn fn (ω) exists for all
ω ∈ Ω. Then f : Ω → R is a random variable.
Proposition 2.1.5 [properties of random variables] Let (Ω, F) be a

measurable space and f, g : Ω → R random variables and α, β ∈ R. Then
the following is true:
(1) (αf + βg)(ω) := αf (ω) + βg(ω) is a random variable.
(2) (f g)(ω) := f (ω)g(ω) is a random-variable.

f (ω)
(3) If g(ω) 6= 0 for all ω ∈ Ω, then fg (ω) := g(ω)
is a random variable.
(4) |f | is a random variable.
Proof. (2) We find measurable step-functions fn , gn : Ω → R such that
f (ω) = lim fn (ω) and g(ω) = lim gn (ω).

n→∞ n→∞
Hence
(f g)(ω) = lim fn (ω)gn (ω).
n→∞
Finally, we remark, that fn (ω)gn (ω) is a measurable step-function. In fact,

assuming that
k
X l
X
fn (ω) = αi 1IAi (ω) and gn (ω) = βj 1IBj (ω),
i=1 j=1
yields
k X
X l k X
X l
(fn gn )(ω) = αi βj 1IAi (ω)1IBj (ω) = αi βj 1IAi ∩Bj (ω)
i=1 j=1 i=1 j=1
and we again obtain a step-function, since Ai ∩ Bj ∈ F. Items (1), (3), and

(4) are an exercise.
2.2 Measurable maps

Now we extend the notion of random variables to the notion of measurable
maps, which is necessary in many considerations and even more natural.
Definition 2.2.1 [measurable map] Let (Ω, F) and (M, Σ) be measurable

spaces. A map f : Ω → M is called (F, Σ)-measurable, provided that
f −1 (B) = {ω ∈ Ω : f (ω) ∈ B} ∈ F for all B ∈ Σ.
The connection to the random variables is given by

Proposition 2.2.2 Let (Ω, F) be a measurable space and f : Ω → R. Then
the following assertions are equivalent:
(1) The map f is a random variable.
(2) The map f is (F, B(R))-measurable.
For the proof we need

Lemma 2.2.3 Let (Ω, F) and (M, Σ) be measurable spaces and let f : Ω →
M . Assume that Σ0 ⊆ Σ is a system of subsets such that σ(Σ0 ) = Σ. If
f −1 (B) ∈ F for all B ∈ Σ0 ,
then
f −1 (B) ∈ F for all B ∈ Σ.
Proof. Define
A := B ⊆ M : f −1 (B) ∈ F .

Obviously, Σ0 ⊆ A. We show that A is a σ–algebra.

(1) f −1 (M ) = Ω ∈ F implies that M ∈ A.
(2) If B ∈ A, then
f −1 (B c ) = {ω : f (ω) ∈ B c }
= {ω : f (ω) ∈
/ B}
= Ω \ {ω : f (ω) ∈ B}
= f −1 (B)c ∈ F.
(3) If B1 , B2 , · · · ∈ A, then
∞
! ∞
[ [
f −1 Bi = f −1 (Bi ) ∈ F.
i=1 i=1
By definition of Σ = σ(Σ0 ) this implies that Σ ⊆ A, which implies our

lemma.
Proof of Proposition 2.2.2. (2) =⇒ (1) follows from (a, b) ∈ B(R) for a < b
which implies that f −1 ((a, b)) ∈ F.
(1) =⇒ (2) is a consequence of Lemma 2.2.3 since B(R) = σ((a, b) : −∞ <
a < b < ∞).
2.2. MEASURABLE MAPS 33
Example 2.2.4 If f : R → R is continuous, then f is (B(R), B(R))-

measurable.
Proof. Since f is continuous we know that f −1 ((a, b)) is open for all −∞ <
a < b < ∞, so that f −1 ((a, b)) ∈ B(R). Since the open intervals generate
B(R) we can apply Lemma 2.2.3.
Now we state some general properties of measurable maps.
Proposition 2.2.5 Let (Ω1 , F1 ), (Ω2 , F2 ), (Ω3 , F3 ) be measurable spaces.

Assume that f : Ω1 → Ω2 is (F1 , F2 )-measurable and that g : Ω2 → Ω3 is
(F2 , F3 )-measurable. Then the following is satisfied:
(1) g ◦ f : Ω1 → Ω3 defined by
(g ◦ f )(ω1 ) := g(f (ω1 ))
is (F1 , F3 )-measurable.
(2) Assume that P is a probability measure on F1 and define
µ(B2 ) := P ({ω1 ∈ Ω1 : f (ω1 ) ∈ B2 }) .
Then µ is a probability measure on F2 .
Example 2.2.6 We want to simulate the flipping of an (unfair) coin by the

random number generator: the random number generator of the computer
gives us a number which has (a discrete) uniform distribution on [0, 1]. So
we take the probability space ([0, 1], B([0, 1]), λ) and define for p ∈ (0, 1) the
random variable
f (ω) := 1I[0,p) (ω).
Then it holds
µ({1}) := P (ω1 ∈ Ω1 : f (ω1) = 1) = λ([0, p)) = p,

µ({0}) := P (ω1 ∈ Ω1 : f (ω1) = 0) = λ([p, 1]) = 1 − p.
Assume the random number generator gives out the number x. If we would
write a program such that ”output” = ”heads” in case x ∈ [0, p) and ”output”
= ”tails” in case x ∈ [p, 1], ”output” would simulate the flipping of an (unfair)
coin, or in other words, ”output” has binomial distribution µ1,p .
Definition 2.2.7 [law of a random variable] Let (Ω, F, P) be a prob-

ability space and f : Ω → R be a random variable. Then
Pf (B) := P (ω ∈ Ω : f (ω) ∈ B)
is called the law of the random variable f .
The law of a random variable is completely characterized by its distribution

function, we introduce now.
Definition 2.2.8 [distribution-function] Given a random variable f :

Ω → R on a probability space (Ω, F, P), the function
Ff (x) := P(ω ∈ Ω : f (ω) ≤ x)
is called distribution function of f .
Proposition 2.2.9 [Properties of distribution-functions]

The distribution-function Ff : R → [0, 1] is a right-continuous non-
decreasing function such that
lim F (x) = 0 and lim F (x) = 1.

x→−∞ x→∞
Proof. (i) F is non-decreasing: given x1 < x2 one has that
{ω ∈ Ω : f (ω) ≤ x1 } ⊆ {ω ∈ Ω : f (ω) ≤ x2 }
and
F (x1 ) = P({ω ∈ Ω : f (ω) ≤ x1 }) ≤ P({ω ∈ Ω : f (ω) ≤ x2 }) = F (x2 ).
(ii) F is right-continuous: let x ∈ R and xn ↓ x. Then
F (x) = P({ω ∈ Ω : f (ω) ≤ x})

∞
!
P
\
= {ω ∈ Ω : f (ω) ≤ xn }
n=1
= lim P ({ω ∈ Ω : f (ω) ≤ xn })
n
= lim F (xn ).
n
(iii) The properties limx→−∞ F (x) = 0 and limx→∞ F (x) = 1 are an exercise.

Proposition 2.2.10 Assume that µ1 and µ2 are probability measures on

B(R) and F1 and F2 are the corresponding distribution functions. Then the
following assertions are equivalent:
(1) µ1 = µ2 .
(2) F1 (x) = µ1 ((−∞, x]) = µ2 ((−∞, x]) = F2 (x) for all x ∈ R.

2.3. INDEPENDENCE 35
Proof. (1) ⇒ (2) is of course trivial. We consider (2) ⇒ (1): For sets of type
A := (a1 , b1 ] ∪ · · · ∪ (an , bn ],
where the intervals are disjoint, one can show that

n
X n
X
(F1 (bi ) − (F1 (ai )) = µ1 (A) = µ2 (A) = (F2 (bi ) − (F2 (ai )).
i=1 i=1
Now one can apply Carathéodory’s extension theorem.
Summary: Let (Ω, F) be a measurable space and f : Ω → R be a function.

Then the following relations hold true:
f −1 (A) ∈ F for all A ∈ G

where G is one of the systems given in Proposition 1.1.7 or
any other system such that σ(G) = B(R).
~
w
w Lemma 2.2.3
w

f is measurable: f −1 (A) ∈ F for all A ∈ B(R)
~
w
wProposition 2.2.2
w

There exist measurable step functions (fn )∞

n=1 i.e.
PNn n
fn = k=1 ak 1IAnk
with ak ∈ R and Ank ∈ F such that
n
fn (ω) → f (ω) for all ω ∈ Ω as n → ∞.
2.3 Independence
Let us first start with the notion of a family of independent random variables.
Definition 2.3.1 [independence of a family of random variables]

Let (Ω, F, P) be a probability space and fi : Ω → R, i ∈ I, be random vari-
ables where I is a non-empty index-set. The family (fi )i∈I is called indepen-
dent provided that for all i1 , ..., in ∈ I, n = 1, 2, ..., and all B1 , ..., Bn ∈ B(R)
one has that
P (fi1 ∈ B1 , ..., fin ∈ Bn ) = P (fi1 ∈ B1 ) · · · P (fin ∈ Bn ) .

In case, we have a finite index set I, that means for example I = {1, ..., n},
then the definition above is equivalent to
Definition 2.3.2 [independence of a finite family of random vari-

ables] Let (Ω, F, P) be a probability space and fi : Ω → R, i = 1, . . . , n,
random variables. The random variables f1 , . . . , n are called independent
provided that for all B1 , ..., Bn ∈ B(R) one has that
P (f1 ∈ B1, ..., fn ∈ Bn) = P (f1 ∈ B1) · · · P (fn ∈ Bn) .
We already defined in Definition 1.2.9 what does it mean that a sequence of

events is independent. Now we rephrase this definition for arbitrary families.
Definition 2.3.3 [independence of a family of events] Let (Ω, F, P)

be a probability space and I be a non-empty index-set. A family (Ai )i∈I ,
Ai ∈ F, is called independent provided that for all i1 , ..., in ∈ I, n = 1, 2, ...,
one has that
P (Ai1 ∩ · · · ∩ Ain ) = P (Ai1 ) · · · P (Ain ) .
The connection between the definitions above is obvious:
Proposition 2.3.4 Let (Ω, F, P) be a probability space and fi : Ω → R,

i ∈ I, be random variables where I is a non-empty index-set. Then the
following assertions are equivalent.
(1) The family (fi )i∈I is independent.
(2) For all families (Bi )i∈I of Borel sets Bi ∈ B(R) one has that the events
({ω ∈ Ω : fi (ω) ∈ Bi })i∈I are independent.
Sometimes we need to group independent random variables. In this respect

the following proposition turns out to be useful. For the following we say
that g : Rn → R is Borel-measurable provided that g is (B(Rn ), B(R))-
measurable.
Proposition 2.3.5 [Grouping of independent random variables]

Let fk : Ω → R, k = 1, 2, 3, ... be independent random variables. As-
sume Borel functions gi : Rni → R for i = 1, 2, ... and ni ∈ {1, 2, ...}.
Then the random variables g1 (f1 (ω), ..., fn1 (ω)), g2 (fn1 +1 (ω), ..., fn1 +n2 (ω)),
g3 (fn1 +n2 +1 (ω), ..., fn1 +n2 +n3 (ω)), ... are independent.

2.3. INDEPENDENCE 37
Proposition 2.3.6 [independence and product of laws] Assume that

(Ω, F, P) is a probability space and that f, g : Ω → R are random variables
with laws Pf and Pg and distribution-functions Ff and Fg , respectively. Then
the following assertions are equivalent:
(1) f and g are independent.
(2) P ((f, g) ∈ B) = (Pf × Pg )(B) for all B ∈ B(R2).

(3) P(f ≤ x, g ≤ y) = Ff (x)Ff (y) for all x, y ∈ R.
Remark 2.3.7 Assume that there are Riemann-integrable functions pf , pg :

R → [0, ∞) such that
Z Z
pf (x)dx = pg (x)dx = 1,
R R
Z x Z x
Ff (x) = pf (y)dy, and Fg (x) = pg (y)dy
−∞ −∞
for all x ∈ R (one says that the distribution-functions Ff and Fg are abso-
lutely continuous with densities pf and pg , respectively). Then the indepen-
dence of f and g is also equivalent to
Z x Z y
F(f,g) (x, y) = pf (u)pg (v)d(u)d(v).
−∞ −∞
In other words: the distribution-function of the random vector (f, g) has a

density which is the product of the densities of f and g.
Often one needs the existence of sequences of independent random variables

f1 , f2 , · · · : Ω → R having a certain distribution. How to construct such
sequences? First we let
Ω := RN = {x = (x1 , x2 , ...) : xn ∈ R} .
Then we define the projections Πn : RN → R given by
Πn (x) := xn ,
that means Πn filters out the n-th coordinate. Now we take the smallest
σ-algebra such that all these projections are random variables, that means
we take
B(RN ) := σ Π−1 n (B) : n = 1, 2, ..., B ∈ B(R) ,

see Proposition 1.1.5. Finally, let P1 , P2 , ... be a sequence of measures on

B(R). Using Carathéodory’s extension theorem (Proposition 1.2.14) we
find an unique probability measure P on B(RN ) such that
P(B1 × B2 × · · · × Bn × R × R · · · ) = P1(B1) · · · Pn(Bn)

for all n = 1, 2, ... and B1 , ..., Bn ∈ B(R), where
B1 × B2 × · · · × Bn × R × R · · · := x ∈ RN : x1 ∈ B1 , ..., xn ∈ Bn .

Proposition 2.3.8 [Realization of independent random variab-

les] Let (RN , B(RN ), P) and πn : Ω → R be defined as above. Then (Πn )∞
is a sequence of independent random variables such that the law of Πn is Pn ,
n=1
that means
P(πn ∈ B) = Pn(B)
for all B ∈ B(R).
Proof. Take Borel sets B1 , ..., Bn ∈ B(R). Then
P({ω : Π1(ω) ∈ B1, ..., Πn(ω) ∈ Bn})

= P(B1 × B2 × · · · × Bn × R × R × · · · )
= P1 (B1 ) · · · Pn (Bn )
n
P(R × · · · × R × Bk × R × · · · )
Y
=
k=1
n
P({ω : Πk (ω) ∈ Bk }).
Y
=
k=1

Chapter 3
Integration
Given a probability space (Ω, F, P) and a random variable f : Ω → R, we

define the expectation or integral
Ef = f dP = f (ω)dP(ω)
Z Z
Ω Ω
and investigate its basic properties.
3.1 Definition of the expected value

The definition of the integral is done within three steps.
Definition 3.1.1 [step one, f is a step-function] Given a probability

space (Ω, F, P) and an F-measurable g : Ω → R with representation
n
X
g= αi 1IAi
i=1
where αi ∈ R and Ai ∈ F, we let

n
Eg = gdP = g(ω)dP(ω) := αi P(Ai ).
Z Z X
Ω Ω i=1
We have to check that the definition is correct, since it might be that different
representations give different expected values Eg. However, this is not the
case as shown by
Lemma 3.1.2 Assuming measurable step-functions

n
X m
X
g= αi 1IAi = βj 1IBj ,
i=1 j=1
αi P(Ai ) = βj P(Bj ).
Pn Pm
one has that i=1 j=1
39
40 CHAPTER 3. INTEGRATION
Proof. By subtracting in both equations the right-hand side from the left-
hand one we only need to show that
n
X
αi 1IAi = 0
i=1
implies that
n
αi P(Ai ) = 0.
X
i=1
By taking all possible intersections of the sets Ai and by adding appropriate
complements we find a system of sets C1 , ..., CN ∈ F such that
(a) Cj ∩ Ck = ∅ if j 6= k,
(b) N
S
j=1 Cj = Ω,
S
(c) for all Ai there is a set Ii ⊆ {1, ..., N } such that Ai = j∈Ii Cj .
Now we get that
n n X N
! N
X X X X X
0= αi 1IAi = αi 1ICj = αi 1ICj = γj 1ICj
i=1 i=1 j∈Ii j=1 i:j∈Ii j=1
so that γj = 0 if Cj 6= ∅. From this we get that

n n X N
! N
αi P(Ai ) = αi P(Cj ) = αi P(Cj ) = γj P(Cj ) = 0.
X X X X X
i=1 i=1 j∈Ii j=1 i:j∈Ii j=1
Proposition 3.1.3 Let (Ω, F, P) be a probability space and f, g : Ω → R be

measurable step-functions. Given α, β ∈ R one has that
E (αf + βg) = αEf + β Eg.
Proof. The proof follows immediately from Lemma 3.1.2 and the definition
of the expected value of a step-function since, for
n
X m
X
f= αi 1IAi and g= βj 1IBj ,
i=1 j=1
one has that n m

X X
αf + βg = α αi 1IAi + β βj 1IBj
i=1 j=1
and
n m
E(αf + βg) = α αi P(Ai ) + β βj P(Bj ) = αEf + β Eg.
X X
i=1 j=1

3.1. DEFINITION OF THE EXPECTED VALUE 41
Definition 3.1.4 [step two, f is non-negative] Given a probability

space (Ω, F, P) and a random variable f : Ω → R with f (ω) ≥ 0 for all
ω ∈ Ω. Then
Ef = f dP = f (ω)dP(ω)
Z Z
Ω Ω
:= sup {Eg : 0 ≤ g(ω) ≤ f (ω), g is a measurable step-function} .
Note that in this definition the case Ef = ∞ is allowed. In the last step we
define the expectation for a general random variable.
Definition 3.1.5 [step three, f is general] Let (Ω, F, P) be a proba-

bility space and f : Ω → R be a random variable. Let
f + (ω) := max {f (ω), 0} and f − (ω) := max {−f (ω), 0} .
(1) If Ef + < ∞ or Ef − < ∞, then we say that the expected value of f

exists and set
Ef := Ef + − Ef − ∈ [−∞, ∞].
(2) The random variable f is called integrable provided that
Ef + < ∞ and Ef − < ∞.

(3) If f is integrable and A ∈ F, then
f dP = f (ω)dP(ω) := f (ω)1IA (ω)dP(ω).

Z Z Z
A A Ω
The expression Ef is called expectation or expected value of the random

variable f .
For the above definition note that f + (ω) ≥ 0, f − (ω) ≥ 0, and
f (ω) = f + (ω) − f − (ω).
Remark 3.1.6 In case, we integrate functions with respect to the Lebesgue

measure introduced in Section 1.3.4, the expected value is called Lebesgue
integral and the integrable random variables are called Lebesgue inte-
grable functions.
Besides the expected value, the variance is often of interest.
Definition 3.1.7 [variance] Let (Ω, F, P) be a probability space and f :

Ω → R be a random variable. Then σ 2 = E[f − Ef ]2 is called variance.
A simple example for the expectation is the expected value while rolling a
die:
Example 3.1.8 Assume that Ω := {1, 2, . . . , 6}, F := 2Ω , and P({k}) := 16 ,

which models rolling a die. If we define f (k) = k, i.e.
6
X
f (k) := i1I{i} (k),
i=1
then f is a measurable step-function and it follows that

6
Ef = iP({i}) =
1 + 2 + ··· + 6
X
= 3.5.
i=1
6
3.2 Basic properties of the expected value

We say that a property P(ω), depending on ω, holds P-almost surely or
almost surely (a.s.) if
{ω ∈ Ω : P(ω) holds}
belongs to F and is of measure one. Let us start with some first properties
of the expected value.
Proposition 3.2.1 Assume a probability space (Ω, F, P) and random vari-

ables f, g : Ω → R.
(1) If 0 ≤ f (ω) ≤ g(ω), then 0 ≤ Ef ≤ Eg.
(2) The random variable f is integrable if and only if |f | is integrable. In
this case one has
|Ef | ≤ E|f |.
(3) If f = 0 a.s., then Ef = 0.

(4) If f ≥ 0 a.s. and Ef = 0, then f = 0 a.s.
(5) If f = g a.s. and Ef exists, then Eg exists and Ef = Eg.
Proof. (1) follows directly from the definition. Property (2) can be seen
as follows: by definition, the random variable f is integrable if and only if
Ef + < ∞ and Ef − < ∞. Since
ω ∈ Ω : f + (ω) 6= 0 ∩ ω ∈ Ω : f − (ω) 6= 0 = ∅

and since both sets are measurable, it follows that |f | = f + +f − is integrable

if and only if f + and f − are integrable and that
|Ef | = |Ef + − Ef − | ≤ Ef + + Ef − = E|f |.

3.2. BASIC PROPERTIES OF THE EXPECTED VALUE 43
(3) If f = 0 a.s., then f + = 0 a.s. and f − = 0 a.s., so that we can restrict

ourself to the case f (ω) ≥ 0. If g is a measurable step-function with g =
k=1 ak 1IAk , g(ω) ≥ 0, and g = 0 a.s., then ak 6= 0 implies P(Ak ) = 0. Hence
Pn
Ef = sup {Eg : 0 ≤ g ≤ f, g is a measurable step-function} = 0

since 0 ≤ g ≤ f implies g = 0 a.s. Properties (4) and (5) are exercises.
The next lemma is useful later on. In this lemma we use, as an approximation
for f , a staircase-function. This idea was already exploited in the proof of
Proposition 2.1.3.
Lemma 3.2.2 Let (Ω, F, P) be a probability space and f : Ω → R be a

random variable.
(1) Then there exists a sequence of measurable step-functions fn : Ω → R
such that, for all n = 1, 2, . . . and for all ω ∈ Ω,
|fn (ω)| ≤ |fn+1 (ω)| ≤ |f (ω)| and f (ω) = lim fn (ω).

n→∞
If f (ω) ≥ 0 for all ω ∈ Ω, then one can arrange fn (ω) ≥ 0 for all
ω ∈ Ω.
(2) If f ≥ 0 and if (fn )∞

n=1 is a sequence of measurable step-functions with
0 ≤ fn (ω) ↑ f (ω) for all ω ∈ Ω as n → ∞, then
Ef = n→∞
lim Efn .
Proof. (1) It is easy to verify that the staircase-functions

n −1
4X
k
fn (ω) := 1I k k+1 (ω).
k=−4n
2n { 2n ≤f < 2n }
fulfill all the conditions.

(2) Letting
n −1
4X
k
fn0 (ω) := 1I k k+1 (ω)
k=0
2n { 2n ≤f < 2n }
we get 0 ≤ fn0 (ω) ↑ f (ω) for all ω ∈ Ω. On the other hand, by the definition
of the expectation there exits a sequence 0 ≤ gn (ω) ≤ f (ω) of measurable
step-functions such that Egn ↑ Ef . Hence
hn := max fn0 , g1 , . . . , gn

is a measurable step-function with 0 ≤ gn (ω) ≤ hn (ω) ↑ f (ω),
Egn ≤ Ehn ≤ Ef, and lim

n→∞
Egn = n→∞
lim Ehn = Ef.
Consider
dk,n := fk ∧ hn .
Clearly, dk,n ↑ fk as n → ∞ and dk,n ↑ hn as k → ∞. Let
zk,n := arctan Edk,n
so that 0 ≤ zk,n ≤ 1. Since (zk,n )∞ ∞

k=1 is increasing for fixed n and (zk,n )n=1 is
increasing for fixed k one quickly checks that
lim lim zk,n = lim lim zk,n .

k n n k
Hence
Ef = lim
n
Ehn = lim
n
lim Edk,n = lim lim Edk,n = Efn
k k n
where we have used the following fact: if 0 ≤ ϕn (ω) ↑ ϕ(ω) for step-functions
ϕn and ϕ, then
lim Eϕn = Eϕ.
n
To check this, it is sufficient to assume that ϕ(ω) = 1IA (ω) for some A ∈ F.
Let ε ∈ (0, 1) and
Bεn := {ω ∈ A : 1 − ε ≤ ϕn (ω)} .
Then
(1 − ε)1IBεn (ω) ≤ ϕn (ω) ≤ 1IA (ω).
Since Bεn ⊆ Bεn+1 and ∞ n
S
n=1 Bε = A we get, by the monotonicity of the
measure, that limn P(Bε ) = P(A) so that
n
(1 − ε)P(A) ≤ lim Eϕn .

n
Since this is true for all ε > 0 we get
Eϕ = P(A) ≤ lim
n
Eϕn ≤ Eϕ
and are done.
Now we continue with same basic properties of the expectation.
Proposition 3.2.3 [properties of the expectation] Let (Ω, F, P) be

a probability space and f, g : Ω → R be random variables such that Ef and
Eg exist.
(1) If Ef + + Eg+
< ∞ or Ef − + Eg − < ∞, then E(f + g)+ < ∞ or
E(f + g) < ∞ and E(f + g) = Ef + Eg.
−
(2) If c ∈ R, then E(cf ) exists and E(cf ) = cEf .

(3) If f ≤ g, then Ef ≤ Eg.
(4) If f and g are integrable and a, b ∈ R, then af + bg is integrable and

aEf + bEg = E(af + bg).
Proof. (1) We only consider the case that Ef + + Eg + < ∞. Because of

(f + g)+ ≤ f + + g + one gets that E(f + g)+ < ∞. Moreover, one quickly
checks that
(f + g)+ + f − + g − = f + + g + + (f + g)−
so that Ef − + Eg − = ∞ if and only if E(f + g)− = ∞ if and only if
Ef + Eg = E(f + g) = −∞. Assuming that Ef − + Eg− < ∞ gives that
E(f + g)− < ∞ and
E(f + g)+ + Ef − + Eg− = Ef + + Eg+ + E(f + g)− (3.1)
which implies that E(f + g) = Ef + Eg. In order to prove Formula (3.1) we

assume random variables ϕ, ψ : Ω → R such that ϕ ≥ 0 and ψ ≥ 0. We find
measurable step functions (ϕn )∞ ∞
n=1 and (ψn )n=1 with
0 ≤ ϕn (ω) ↑ ϕ(ω) and 0 ≤ ψn (ω) ↑ ψ(ω)
for all ω ∈ Ω. Lemma 3.2.2, Proposition 3.1.3, and ϕn (ω) + ψn (ω) ↑ ϕ(ω) +
ψ(ω) give that
Eϕ + Eψ = lim
n
Eϕn + lim
n
Eψn = lim
n
E(ϕn + ψn) = E(ϕ + ψ).
(2) is an exercise.
(3) If Ef − = ∞ or Eg + = ∞, then Ef = −∞ or Eg = ∞ so that nothing
is to prove. Hence assume that Ef − < ∞ and Eg + < ∞. The inequality
f ≤ g gives 0 ≤ f + ≤ g + and 0 ≤ g − ≤ f − so that f and g are integrable
and
Ef = Ef + − Ef − ≤ Eg+ − Eg− = Eg.
(4) Since (af + bg)+ ≤ |a||f | + |b||g| and (af + bg)− ≤ |a||f | + |b||g| we get
that af + bg is integrable. The equality for the expected values follows from
(1) and (2).
Proposition 3.2.4 [monotone convergence] Let (Ω, F, P) be a prob-

ability space and f, f1 , f2 , ... : Ω → R be random variables.
(1) If 0 ≤ fn (ω) ↑ f (ω) a.s., then limn Efn = Ef .
(2) If 0 ≥ fn (ω) ↓ f (ω) a.s., then limn Efn = Ef .
Proof. (a) First suppose
0 ≤ fn (ω) ↑ f (ω) for all ω ∈ Ω.

For each fn take a sequence of step functions (fn,k )k≥1 such that 0 ≤ fn,k ↑ fn ,
as k → ∞. Setting
hN := max fn,k
1≤k≤N
1≤n≤N
we get hN −1 ≤ hN ≤ max1≤n≤N fn = fN . Define h := limN →∞ hN . For

1 ≤ n ≤ N it holds that
fn,N ≤ hN ≤ fN ,
fn ≤ h ≤ f,
and therefore
f = lim fn ≤ h ≤ f.
n→∞
Since hN is a step function for each N and hN ↑ f we have by Lemma 3.2.2

that limN →∞ EhN = Ef and therefore, since hN ≤ fN ,
Ef ≤ Nlim
→∞
EfN .
On the other hand, fn ≤ fn+1 ≤ f implies Efn ≤ Ef and hence
lim
n→∞
Efn ≤ Ef.
(b) Now let 0 ≤ fn (ω) ↑ f (ω) a.s. By definition, this means that
0 ≤ fn (ω) ↑ f (ω) for all ω ∈ Ω \ A,
where P(A) = 0. Hence 0 ≤ fn (ω)1IAc (ω) ↑ f (ω)1IAc (ω) for all ω and step
(a) implies that
lim Efn 1IAc = Ef 1IAc .
n
Since fn 1IAc = fn a.s. and f 1IAc = f a.s. we get E(fn1IA )

c = Efn and
E(f 1IAc ) = Ef by Proposition 3.2.1 (5).
(c) Assertion (2) follows from (1) since 0 ≥ fn ↓ f implies 0 ≤ −fn ↑ −f.
Corollary 3.2.5 Let (Ω, F, P) be a probability space and g, f, f1 , f2 , ... : Ω →

R be random variables, where g is integrable. If
(1) g(ω) ≤ fn (ω) ↑ f (ω) a.s. or
(2) g(ω) ≥ fn (ω) ↓ f (ω) a.s.,
then limn→∞ Efn = Ef .

Proof. We only consider (1). Let hn := fn − g and h := f − g. Then

0 ≤ hn (ω) ↑ h(ω) a.s.
Proposition 3.2.4 implies that limn Ehn = Eh. Since fn− and f − are inte-
grable Proposition 3.2.3 (1) implies that Ehn = Efn − Eg and Eh = Ef − Eg
so that we are done.
Proposition 3.2.6 [Lemma of Fatou] Let (Ω, F, P) be a probability space

and g, f1 , f2 , ... : Ω → R be random variables with |fn (ω)| ≤ g(ω) a.s. As-
sume that g is integrable. Then lim sup fn and lim inf fn are integrable and
one has that
E lim inf fn
n→∞
≤ lim inf Efn ≤ lim sup Efn ≤
n→∞
E lim sup fn.
n→∞ n→∞
Proof. We only prove the first inequality. The second one follows from the
definition of lim sup and lim inf, the third one can be proved like the first
one. So we let
Zk := inf fn
n≥k
so that Zk ↑ lim inf n fn and, a.s.,

|Zk | ≤ g and | lim inf fn | ≤ g.
n
Applying monotone convergence in the form of Corollary 3.2.5 gives that

E lim inf fn = lim EZk = lim E inf fn ≤ lim inf Efn = lim inf Efn.
n k k n≥k k n≥k n
Proposition 3.2.7 [Lebesgue’s Theorem, dominated convergence]

Let (Ω, F, P) be a probability space and g, f, f1 , f2 , ... : Ω → R be random
variables with |fn (ω)| ≤ g(ω) a.s. Assume that g is integrable and that
f (ω) = limn→∞ fn (ω) a.s. Then f is integrable and one has that
Ef = lim
n
Efn.
Proof. Applying Fatou’s Lemma gives
Ef = E lim inf fn
n→∞
≤ lim inf Efn ≤ lim sup Efn ≤
n→∞
E lim sup fn = Ef.
n→∞ n→∞
Finally, we state a useful formula for independent random variable.
Proposition 3.2.8 If f and g are independent and E|f | < ∞ and E|g| <
∞, then E|f g| < ∞ and
Ef g = Ef Ef.
3.3 Connections to the Riemann-integral

In two typical situations we formulate (without proof) how our expected
value connects to the Riemann-integral. For this purpose we use the Lebesgue
measure defined in Section 1.3.4.
Proposition 3.3.1 Let f : [0, 1] → R be a continuous function. Then

1
f (x)dx = Ef
Z
with the Riemann-integral on the left-hand side and the expectation of the
random variable f with respect to the probability space ([0, 1], B([0, 1]), λ),
where λ is the Lebesgue measure, on the right-hand side.
Now we consider a continuous function p : R → [0, ∞) such that

Z ∞
p(x)dx = 1
−∞
and define a measure P on B(R) by

n Z bi
P((a1, b1] ∩ · · · ∩ (an, bn]) :=
X
p(x)dx
i=1 ai
for −∞ ≤ a1 ≤ b1 ≤ · · · ≤ an ≤ bn ≤ ∞ (again with the convention that

(a, ∞] = (a, ∞)) via Carathéodory’s Theorem (Proposition 1.2.14). The
function p is called density of the measure P.
Proposition 3.3.2 Let f : R → R be a continuous function such that

Z ∞
|f (x)|p(x)dx < ∞.
−∞
Then
∞
f (x)p(x)dx = Ef
Z
−∞
with the Riemann-integral on the left-hand side and the expectation of the
random variable f with respect to the probability space (R, B(R), P) on the
right-hand side.
Let us consider two examples indicating the difference between the Riemann-
integral and our expected value.
3.4. CHANGE OF VARIABLES IN THE EXPECTED VALUE 49
Example 3.3.3 We give the standard example of a function which has an

expected value, but which is not Riemann-integrable. Let

1, x ∈ [0, 1] irrational
f (x) := .
0, x ∈ [0, 1] rational
Then f is not Riemann integrable, but Lebesgue integrable with Ef = 1 if
we use the probability space ([0, 1], B([0, 1]), λ).
Example 3.3.4 The expression

Z t
sin x π
lim dx =
t→∞ 0 x 2
is defined as limit in the Riemann sense although
Z ∞ + Z ∞ −
sin x sin x
dx = ∞ and dx = ∞.
0 x 0 x
Transporting this into a probabilistic setting we take the exponential dis-
tribution with parameter λ > 0 from Section 1.3.6. Let f : R → R be
given by f (x) = 0 if x ≤ 0 and f (x) := sin λx
x λx
e if x > 0 and recall that the
exponential distribution µλ with parameter λ > 0 is given by the density
pλ (x) = 1I[0,∞) (x)λe−λx . The above yields that
Z t
π
lim f (x)pλ (x)dx =
t→∞ 0 2
but Z Z
+
f (x) dµλ (x) = f (x)− dµλ (x) = ∞.
R R
Hence the expected value of f does not exists, but the Riemann-integral gives
a way to define a value, which makes sense. The point of this example is
that the Riemann-integral takes more information into the account than the
rather abstract expected value.
3.4 Change of variables in the expected value

We want to prove a change of variable formula for the integrals Ω f dP. In
R
many cases, only by this formula it is possible to compute explicitly expected

values.
Proposition 3.4.1 [Change of variables] Let (Ω, F, P) be a probability

space, (E, E) be a measurable space, ϕ : Ω → E be a measurable map, and
g : E → R be a random variable. Assume that Pϕ is the image measure of
P with respect to ϕ, that means
Pϕ(A) = P({ω : ϕ(ω) ∈ A}) = P(ϕ−1(A)) for all A ∈ E.
Then
g(η)dPϕ (η) = g(ϕ(ω))dP(ω)
Z Z
A ϕ−1 (A)
for all A ∈ E in the sense that if one integral exists, the other exists as well,
and their values are equal.
Proof. (i) Letting ge(η) := 1IA (η)g(η) we have
ge(ϕ(ω)) = 1Iϕ−1 (A) (ω)g(ϕ(ω))
so that it is sufficient to consider the case A = Ω. Hence we have to show

that
g(η)dPϕ (η) = g(ϕ(ω))dP(ω).
Z Z
E Ω
(ii) Since, for f (ω) := g(ϕ(ω)) one has that f + = g + ◦ ϕ and f − = g − ◦ ϕ it is

sufficient to consider the positive part of g and its negative part separately.
In other words, we can assume that g(η) ≥ 0 for all η ∈ E.
(iii) Assume now a sequence of measurable step-function 0 ≤ gn (η) ↑ g(η)
for all η ∈ E which does exist according to Lemma 3.2.2 so that gn (ϕ(ω)) ↑
g(ϕ(ω)) for all ω ∈ Ω as well. If we can show that
gn (η)dPϕ (η) = gn (ϕ(ω))dP(ω)

Z Z
E Ω
then we are done. By additivity it is enough to check gn (η) = 1IB (η) for some
B ∈ E (if this is true for this case, then one can multiply by real numbers
and can take sums and the equality remains true). But now we get
gn (η)dPϕ (η) = Pϕ (B) = P(ϕ (B)) = 1Iϕ−1 (B) (η)dP(η)

Z Z
−1
E E
1IB (ϕ(η))dP(η) = gn (ϕ(η))dP(η).

Z Z
=
E E
Let us give two examples for the change of variable formula.
Example 3.4.2 [Computation of moments] We want to compute cer-

tain moments. Let (Ω, F, P) be a probability space and ϕ : Ω → R be a
random variable. Let Pϕ be the law of ϕ and assume that the law has a
continuous density p, that means we have that
b
Pf ((a, b]) =
Z
p(x)dx
a
3.5. FUBINI’S THEOREM 51
for allR ∞ < a < b < ∞ where p : R → [0, ∞) is a continuous function such
∞
that −∞ p(x)dx = 1 using the Riemann-integral. Letting n ∈ {1, 2, ...} and
g(x) := xn , we get that
Z ∞
Eϕ = ϕ(ω) dP(ω) = g(x)dPϕ(x) =
Z Z
n n
xn p(x)dx
Ω R −∞
where we have used Proposition 3.3.2.
Example 3.4.3 [Discrete image measures] Assume the setting of

Proposition 3.4.1 and that
∞
Pϕ =
X
pk δηk
k=1
with pk ≥ 0, ∞
P
k=1 pk = 1, and some ηk ∈ E (that means that the image
measure of P with respect to ϕ is ’discrete’). Then
∞
g(ϕ(ω))dP(ω) = g(η)dPϕ (η) =
Z Z X
pk g(ηk ).
Ω R k=1
3.5 Fubini’s Theorem

In this section we consider iterated integrals, as they appear very often in
applications, and show in Fubini’s Theorem that integrals with respect to
product measures can be written as iterated integrals and that one can change
the order of integration in these iterated integrals. In many cases this pro-
vides an appropriate tool for the computation of integrals. Before we start
with Fubini’s Theorem we need some preparations. First we recall the no-
tion of a vector space.
Definition 3.5.1 [vector space] A set L equipped with operations + :

L × L → L and · : R × L → L is called vector space over R if the following
conditions are satisfied:
(1) x + y = y + x for all x, y ∈ L.
(2) x + (y + z) = (x + y) + z form all x, y, z ∈ L.
(3) There exists an 0 ∈ L such that x + 0 = x for all x ∈ L.
(4) For all x ∈ L there exists an −x such that x + (−x) = 0.
(5) 1 x = x.
(6) α(βx) = (αβ)x for all α, β ∈ R and x ∈ L.

(7) (α + β)x = αx + βx for all α, β ∈ R and x ∈ L.
(8) α(x + y) = αx + αy for all α ∈ R and x, y ∈ L.
Usually one uses the notation x − y := x + (−y) and −x + y := (−x) + y etc.

Now we state the Monotone Class Theorem. It is a powerful tool by which,
for example, measurability assertions can be proved.
Proposition 3.5.2 [Monotone Class Theorem] Let H be a class of

bounded functions from Ω into R satisfying the following conditions:
(1) H is a vector space over R where the natural point-wise operations +
and · are used.
(2) 1IΩ ∈ H.
(3) If fn ∈ H, fn ≥ 0, and fn ↑ f , where f is bounded on Ω, then f ∈ H.

Then one has the following: if H contains the indicator function of every
set from some π-system I of subsets of Ω, then H contains every bounded
σ(I)-measurable function on Ω.
Proof. See for example [5] (Theorem 3.14).
For the following it is convenient to allow that the random variables may
take infinite values.
Definition 3.5.3 [extended random variable] Let (Ω, F) be a measur-

able space. A function f : Ω → R ∪ {−∞, ∞} is called extended random
variable if
f −1 (B) := {ω : f (ω) ∈ B} ∈ F for all B ∈ B(R).
If we have a non-negative extended random variable, we let (for example)
f dP = lim [f ∧ N ]dP.
Z Z
Ω N →∞ Ω
For the following, we recall that the product space (Ω1 ×Ω2 , F1 ⊗F2 , P1 × P2 )
of the two probability spaces (Ω1 , F1 , P1 ) and (Ω2 , F2 , P2 ) was defined in
Definition 1.2.15.
Proposition 3.5.4 [Fubini’s Theorem for non-negative functions]

Let f : Ω1 × Ω2 → R be a non-negative F1 ⊗ F2 -measurable function such
that
f (ω1 , ω2 )d(P1 × P2 )(ω1 , ω2 ) < ∞.
Z
(3.2)
Ω1 ×Ω2
Then one has the following:

(1) The functions ω1 → f (ω1 , ω20 ) and ω2 → f (ω10 , ω2 ) are F1 -measurable

and F2 -measurable, respectively, for all ωi0 ∈ Ωi .
(2) The functions
f (ω1 , ω2 )dP2 (ω2 ) and f (ω1 , ω2 )dP1 (ω1 )

Z Z
ω1 → ω2 →
Ω2 Ω1
are extended F1 -measurable and F2 -measurable, respectively, random

variables.
(3) One has that
Z Z
f (ω1 , ω2 )d(P1 × P2 ) = f (ω1 , ω2 )dP2 (ω2 ) dP1 (ω1 )
Z
Ω1 ×Ω2 Ω1 Ω2
Z Z
= f (ω1 , ω2 )dP1 (ω1 ) dP2 (ω2 ).
Ω2 Ω1
It should be noted, that item (3) together with Formula (3.2) automatically
implies that
P2 ω2 : f (ω1, ω2)dP1(ω1) = ∞ = 0
Z
Ω1
and
P1 f (ω1 , ω2 )dP2 (ω2 ) = ∞
Z
ω1 : = 0.
Ω2
Proof of Proposition 3.5.4.
(i) First we remark it is sufficient to prove the assertions for
fN (ω1 , ω2 ) := min {f (ω1 , ω2 ), N }
which is bounded. The statements (1), (2), and (3) can be obtained via
N → ∞ if we use Proposition 2.1.4 to get the necessary measurabilities
(which also works for our extended random variables) and the monotone
convergence formulated in Proposition 3.2.4 to get to values of the integrals.
Hence we can assume for the following that supω1 ,ω2 f (ω1 , ω2 ) < ∞.
(ii) We want to apply the Monotone Class Theorem Proposition 3.5.2. Let
H be the class of bounded F1 × F2 -measurable functions f : Ω1 × Ω2 → R
such that
(a) the functions ω1 → f (ω1 , ω20 ) and ω2 → f (ω10 , ω2 ) are F1 -measurable
and F2 -measurable, respectively, for all ωi0 ∈ Ωi ,
(b) the functions
f (ω1 , ω2 )dP2 (ω2 ) and ω2 → f (ω1 , ω2 )dP1 (ω1 )

Z Z
ω1 →
Ω2 Ω1
are F1 -measurable and F2 -measurable, respectively,

(c) one has that

Z
f (ω1 , ω2 )d(P1 × P2 ) = f (ω1 , ω2 )dP2 (ω2 ) dP1 (ω1 )
Z Z
Ω1 ×Ω2 Ω1 Ω2
Z Z
= f (ω1 , ω2 )dP1 (ω1 ) dP2 (ω2 ).
Ω2 Ω1
Again, using Propositions 2.1.4 and 3.2.4 we see that H satisfies the assump-
tions (1), (2), and (3) of Proposition 3.5.2. As π-system I we take the system
of all F = A×B with A ∈ F1 and B ∈ F2 . Letting f (ω1 , ω2 ) = 1IA (ω1 )1IB (ω2 )
we easily can check that f ∈ H. For instance, property (c) follows from
f (ω1 , ω2 )d(P1 × P2 ) = (P1 × P2 )(A × B) = P1 (A)P2 (B)

Z
Ω1 ×Ω2
and, for example,

Z Z
f (ω1 , ω2 )dP2 (ω2 ) dP1 (ω1 ) = 1IA (ω1 )P2 (B)dP1 (ω1 )
Z
Ω1 Ω2 Ω1
= P1(A)P2(B).
Applying the Monotone Class Theorem Proposition 3.5.2 gives that H con-
sists of all bounded functions f : Ω1 × Ω2 → R measurable with respect
F1 × F2 . Hence we are done.
Now we state Fubini’s Theorem for general random variables f : Ω1 × Ω2 →

R.
Proposition 3.5.5 [Fubini’s Theorem] Let f : Ω1 × Ω2 → R be an

F1 ⊗ F2 -measurable function such that
|f (ω1 , ω2 )|d(P1 × P2 )(ω1 , ω2 ) < ∞.

Z
(3.3)
Ω1 ×Ω2
Then the following holds:
(1) The functions ω1 → f (ω1 , ω20 ) and ω2 → f (ω10 , ω2 ) are F1 -measurable

and F2 -measurable, respectively, for all ωi0 ∈ Ωi .
(2) The are Mi ∈ Fi with Pi(Mi) = 1 such that the integrals

P1(ω1) f (ω10 , ω2 )dP1 (ω2 )
Z Z
f (ω1 , ω20 )d and
Ω1 Ω2
exist and are finite for all ωi0 ∈ Mi .

(3) The maps

f (ω1 , ω2 )dP2 (ω2 )
Z
ω1 → 1IM1 (ω1 )
Ω2
and
f (ω1 , ω2 )dP1 (ω1 )
Z
ω2 → 1IM2 (ω2 )
Ω1
are F1 -measurable and F2 -measurable, respectively, random variables.
(4) One has that
f (ω1 , ω2 )d(P1 × P2 )
Z
Ω1 ×Ω2
Z
f (ω1 , ω2 )dP2 (ω2 ) dP1 (ω1 )
Z
= 1IM1 (ω1 )
Ω1 Ω2
Z
f (ω1 , ω2 )dP1 (ω1 ) dP2 (ω2 ).
Z
= 1IM2 (ω2 )
Ω2 Ω1
Remark 3.5.6 (1) Our understanding is that writing, for example, an

expression like
f (ω1 , ω2 )dP1 (ω1 )
Z
1IM2 (ω2 )
Ω1
we only consider and compute the integral for ω2 ∈ M2 .
(2) The expressions in (3.2) and (3.3) can be replaced by

Z
f (ω1 , ω2 )dP2 (ω2 ) dP1 (ω1 ) < ∞,
Z
Ω1 Ω2
and the same expression with |f (ω1 , ω2 )| instead of f (ω1 , ω2 ), respec-

tively.
Proof of Proposition 3.5.5. The proposition follows by decomposing f =

f + − f − and applying Proposition 3.5.4.
In the following example we show how to compute the integral
Z ∞
2
e−x dx
−∞
by Fubini’s Theorem.
Example 3.5.7 Let f : R × R be a non-negative continuous function.

Fubini’s Theorem applied to the uniform distribution on [−N, N ], N ∈
{1, 2, ...} gives that
N Z N
d(λ × λ)(x, y)
Z Z
dλ(y) dλ(x)
f (x, y) = f (x, y)
−N −N 2N 2N [−N,N ]×[−N,N ] (2N )2
2 +y 2 )
where λ is the Lebesgue measure. Letting f (x, y) := e−(x , the above
yields that
Z N Z N Z
−x2 −y 2 2 +y 2 )
e e dλ(y) dλ(x) = e−(x d(λ × λ)(x, y).
−N −N [−N,N ]×[−N,N ]
For the left-hand side we get

Z N Z N
−x2 −y 2
lim e e dλ(y) dλ(x)
N →∞ −N −N
Z N Z N
−x2 −y 2
= lim e e dλ(y) dλ(x)
N →∞ −N −N
Z N 2
−x2
= lim e dλ(x)
N →∞ −N
Z ∞ 2
−x2
= e dλ(x) .
−∞
For the right-hand side we get

Z
2 2
lim e−(x +y ) d(λ × λ)(x, y)
N →∞ [−N,N ]×[−N,N ]
Z
2 2
= lim e−(x +y ) d(λ × λ)(x, y)
R→∞ x2 +y 2 ≤R2
Z R Z 2π
2
= lim e−r rdrdϕ
R→∞ 0 0
2

= π lim 1 − e−R
R→∞
= π
where we have used polar coordinates. Comparing both sides gives

Z ∞
2 √
e−x dλ(x) = π.
−∞
As corollary we show that the definition of the Gaussian measure in Section

1.3.5 was “correct”.
Proposition 3.5.8 For σ > 0 and m ∈ R let

1 (x−m)2
pm,σ2 (x) := √ e− 2σ 2 .
2πσ 2
R
Then, R pm,σ2 (x)dx = 1,
Z Z
xpm,σ2 (x)dx = m, and (x − m)2 pm,σ2 (x)dx = σ 2 . (3.4)
R R
In other words: if a random variable f : Ω → R has as law the normal
distribution Nm,σ2 , then
Ef = m and E(f − Ef )2 = σ2. (3.5)
Proof. By the change of variable x → m + σx it is sufficient

√ to show the
statements for m = 0 and σ = 1. Firstly, by putting x = z/ 2 one gets
Z ∞ Z ∞
1 −x2 1 z2
1= √ e dx = √ e− 2 dz
π −∞ 2π −∞
R
where we have used Example 3.5.7 so that R p0,1 (x)dx = 1. Secondly,
Z
xp0,1 (x)dx = 0
R
follows from the symmetry of the density p0,1 (x) = p0,1 (−x). Finally, by
partial integration (use (x exp(−x2 /2))0 = exp(−x2 /2) − x2 exp(−x2 /2)) one
can also compute that
Z ∞ Z ∞
1 2 − x2
2 1 x2
√ x e dx = √ e− 2 dx = 1.
2π −∞ 2π −∞

We close this section with a “counterexample” to Fubini’s Theorem.
Example 3.5.9 Let Ω = [−1, 1] × [−1, 1] and µ be the uniform distribution

on [−1, 1] (see Section 1.3.4). The function
xy
f (x, y) :=
(x2 + y 2 )2
for (x, y) 6= (0, 0) and f (0, 0) := 0 is not integrable on Ω, even though the
iterated integrals exist end are equal. In fact
Z 1 Z 1
f (x, y)dµ(x) = 0 and f (x, y)dµ(y) = 0
−1 −1
so that
Z 1 Z 1 Z 1 Z 1
f (x, y)dµ(x) dµ(y) = f (x, y)dµ(y) dµ(x) = 0.
−1 −1 −1 −1
On the other hand, using polar coordinates we get

Z 1Z 2π
| sin ϕ cos ϕ|
Z
4 |f (x, y)|d(µ × µ)(x, y) ≥ dϕdr
[−1,1]×[−1,1] 0 0 r
Z 1
1
= 2 dr = ∞.
0 r
The inequality holds because on the right hand side we integrate only over
the area {(x, y) : x2 + y 2 ≤ 1} which is a subset of [−1, 1] × [−1, 1] and
Z 2π Z π/2
| sin ϕ cos ϕ|dϕ = 4 sin ϕ cos ϕdϕ = 2
0 0
follows by a symmetry argument.
3.6 Some inequalities

In this section we prove some basic inequalities.
Proposition 3.6.1 [Chebyshev’s inequality] Let f be a non-negative

integrable random variable defined on a probability space (Ω, F, P). Then,
for all λ > 0,
P({ω : f (ω) ≥ λ}) ≤ Eλf .
Proof. We simply have
λP({ω : f (ω) ≥ λ}) = λE1I{f ≥λ} ≤ Ef 1I{f ≥λ} ≤ Ef.
Definition 3.6.2 [convexity] A function g : R → R is convex if and

only if
g(px + (1 − p)y) ≤ pg(x) + (1 − p)g(y)
for all 0 ≤ p ≤ 1 and all x, y ∈ R.
Every convex function g : R → R is (B(R), B(R))-measurable.
Proposition 3.6.3 [Jensen’s inequality] If g : R → R is convex and

f : Ω → R a random variable with E|f | < ∞, then
g(Ef ) ≤ Eg(f )
where the expected value on the right-hand side might be infinity.

3.6. SOME INEQUALITIES 59
Proof. Let x0 = Ef . Since g is convex we find a “supporting line”, that

means a, b ∈ R such that
ax0 + b = g(x0 ) and ax + b ≤ g(x)
for all x ∈ R. It follows af (ω) + b ≤ g(f (ω)) for all ω ∈ Ω and
g(Ef ) = aEf + b = E(af + b) ≤ Eg(f ).
Example 3.6.4 (1) The function g(x) := |x| is convex so that, for any
integrable f ,
|Ef | ≤ E|f |.
(2) For 1 ≤ p < ∞ the function g(x) := |x|p is convex, so that Jensen’s
inequality applied to |f | gives that
(E|f |)p ≤ E|f |p .
For the second case in the example above there is another way we can go. It
uses the famous Hölder-inequality.
Proposition 3.6.5 [Hölder’s inequality] Assume a probability space

(Ω, F, P) and random variables f, g : Ω → R. If 1 < p, q < ∞ with p1 + 1q = 1,
then
E|f g| ≤ (E|f |p) p1 (E|g|q ) 1q .
Proof. We can assume that E|f |p > 0 and E|g|q > 0. For example, assuming
E|f |p = 0 would imply |f |p = 0 a.s. according to Proposition 3.2.1 so that
f g = 0 a.s. and E|f g| = 0. Hence we may set
f g
f˜ := and g̃ := .
(E|f |p ) (E|g|q ) q
1 1
p
We notice that
xa y b ≤ ax + by
for x, y ≥ 0 and positive a, b with a + b = 1, which follows from the concavity
of the logarithm (we can assume for a moment that x, y > 0)
ln(ax + by) ≥ a ln x + b ln y = ln xa + ln y b = ln xa y b .
Setting x := |f˜|p , y := |g̃|q , a := p1 , and b := 1q , we get
1 1
|f˜g̃| = xa y b ≤ ax + by = |f˜|p + |g̃|q
p q
and
E|f˜g̃| ≤ p1 E|f˜|p + 1q E|g̃|q = p1 + 1q = 1.
On the other hand side,
E|f˜g̃| = E|f g|
(E|f |p ) (E|g|q )
1 1
p q
so that we are done.
Corollary 3.6.6 For 0 < p < q < ∞ one has that (E|f |p ) p ≤ (E|f |q ) q .
1 1
Corollary 3.6.7 [Hölder’s inequality for sequences] Let (an )∞

n=1
and (bn )∞
n=1 be sequences of real numbers. Then
∞ ∞
! p1 ∞
! 1q
X X X
|an bn | ≤ |an |p |bn |q .
n=1 n=1 n=1
Proof. It is sufficient to prove the inequality for finite sequences (bn )N

n=1 since
by letting N → ∞ we get the desired inequality for infinite sequences. Let
Ω = {1, ..., N }, F := 2Ω , and P({k}) := 1/N . Defining f, g : Ω → R by
f (k) := ak and g(k) := bk we get
N N
! p1 N
! 1q
1 X 1 X 1 X
|an bn | ≤ |an |p |bn |q
N n=1 N n=1 N n=1
from Proposition 3.6.5. Multiplying by N and letting N → ∞ gives our

assertion.
Proposition 3.6.8 [Minkowski inequality] Assume a probability space

(Ω, F, P), random variables f, g : Ω → R, and 1 ≤ p < ∞. Then
(E|f + g|p ) p ≤ (E|f |p ) p + (E|g|p ) p .

1 1 1
(3.6)
Proof. For p = 1 the inequality follows from |f + g| ≤ |f | + |g|. So assume

that 1 < p < ∞. The convexity of x → |x|p gives that
a + b p |a|p + |b|p

2 ≤

2
and (a+b)p ≤ 2p−1 (ap +bp ) for a, b ≥ 0. Consequently, |f +g|p ≤ (|f |+|g|)p ≤
2p−1 (|f |p + |g|p ) and
E|f + g|p ≤ 2p−1(E|f |p + E|g|p).

3.6. SOME INEQUALITIES 61
Assuming now that (E|f |p ) p + (E|g|p ) p < ∞, otherwise there is nothing to

1 1
prove, we get that E|f +g|p < ∞ as well by the above considerations. Taking
1 < q < ∞ with p1 + 1q = 1, we continue by
E|f + g|p = E|f + g||f + g|p−1

≤ E(|f | + |g|)|f + g|p−1
= E|f ||f + g|p−1 + E|g||f + g|p−1
(E|f |p ) E|f + g|(p−1)q (E|g|p ) E|f + g|(p−1)q
1 1 1 1
≤ p q p q
,
where we have used Hölder’s inequality. Since (p − 1)q = p, (3.6) follows

by dividing the above inequality by (E|f + g|p ) q and taking into the account
1
1 − 1q = p1 .
We close with a simple deviation inequality for f .
Corollary 3.6.9 Let f be a random variable defined on a probability space

(Ω, F, P) such that Ef 2 < ∞. Then one has, for all λ > 0,
P(|f − Ef | ≥ λ) ≤ E(f − Ef )2 E f2
≤ 2 .
λ2 λ
Proof. From Corollary 3.6.6 we get that E|f | < ∞ so that Ef exists. Ap-
plying Proposition 3.6.1 to |f − Ef |2 gives that
P({|f − Ef | ≥ λ}) = P({|f − Ef |2 ≥ λ2}) ≤ E|f −λ2Ef |

2
.
Finally, we use that E(f − Ef )2 = Ef 2 − (Ef )2 ≤ Ef 2.

Chapter 4
Modes of convergence
4.1 Definitions
Let us introduce some basic types of convergence.
Definition 4.1.1 [Types of convergence] Let (Ω, F, P) be a probabil-

ity space and f, f1 , f2 , · · · : Ω → R be random variables.
(1) The sequence (fn )∞
n=1 converges almost surely (a.s.) or with prob-
ability 1 to f (fn → f a.s. or fn → f P-a.s.) if and only if
P({ω : fn(ω) → f (ω) as n → ∞}) = 1.
(2) The sequence (fn )∞

P
n=1 converges in probability to f (fn → f ) if and
only if for all ε > 0 one has
P({ω : |fn(ω) − f (ω)| > ε}) → 0 as n → ∞.
(3) If 0 < p < ∞, then the sequence (fn )∞

n=1 converges with respect to
Lp
Lp or in the Lp -mean to f (fn → f ) if and only if
E|fn − f |p → 0 as n → ∞.
For the above types of convergence the random variables have to be defined
on the same probability space. There is a variant without this assumption.
Definition 4.1.2 [Convergence in distribution] Let (Ωn , Fn , Pn ) and

(Ω, F, P) be probability spaces and let fn : Ωn → R and f : Ω → R be
random variables. Then the sequence (fn )∞n=1 converges in distribution
d
to f (fn → f ) if and only if
Eψ(fn) → ψ(f ) as n → ∞
for all bounded and continuous functions ψ : R → R.
63
64 CHAPTER 4. MODES OF CONVERGENCE
We have the following relations between the above types of convergence.
Proposition 4.1.3 Let (Ω, F, P) be a probability space and f, f1 , f2 , · · · :

Ω → R be random variables.
(1) If fn → f a.s., then fn → f .

P
Lp
(2) If 0 < p < ∞ and fn → f , then fn → f .
P
P d
(3) If fn → f , then fn → f .
d
(4) One has that fn → f if and only if Ffn (x) → Ff (x) at each point x of
continuity of Ff (x), where Ffn and Ff are the distribution-functions of
fn and f , respectively.
P
(5) If fn → f , then there is a subsequence 1 ≤ n1 < n2 < n3 < · · · such
that fnk → f a.s. as k → ∞.
Proof. See [4].
Example 4.1.4 Assume ([0, 1], B([0, 1]), λ) where λ is the Lebesgue mea-
sure. We take
f1 = 1I[0, 1 ) , f2 = 1I[ 1 ,1] ,
2 2
f3 = 1I[0, 1 ) , f4 = 1I[ 1 , 1 ] , f5 = 1I[ 1 , 3 ) , f6 = 1I[ 3 ,1] ,
4 4 2 2 4 4
f7 = 1I[0, 1 ) , . . .
8
This implies limn→∞ fn (x) 6→ 0 for all x ∈ [0, 1]. But it holds convergence in
λ
probability fn → 0: choosing 0 < ε < 1 we get
λ({x ∈ [0, 1] : |fn (x)| > ε}) = λ({x ∈ [0, 1] : fn (x) 6= 0})

1

 2
if n = 1, 2
 1 if n = 3, 4, . . . , 6

4
= 1
if n = 7, . . .
 8
 .
 ..

4.2 Some applications

We start with two fundamental examples of convergence in probability and
almost sure convergence, the weak law of large numbers and the strong law
of large numbers.
Proposition 4.2.1 [Weak law of large numbers] Let (fn )∞

n=1 be a
sequence of independent random variables with
Ef1 = m and E(f1 − m)2 = σ2.

4.2. SOME APPLICATIONS 65
Then
f1 + · · · + fn P
−→ m as n → ∞,
n
that means, for each ε > 0,

lim P
f1 + · · · + fn
ω:| − m| > ε → 0.
n n
Proof. By Chebyshev’s inequality (Corollary 3.6.9) we have that

E|f1 + · · · + fn − nm|2

P ω:
f1 + · · · + fn − nm
> ε ≤
n n 2 ε2
=
E Pn
( k=1 (fk − m))
2
n 2 ε2
2
nσ
= →0
n 2 ε2
as n → ∞.
Using a stronger condition, we get easily more: the almost sure convergence
instead of the convergence in probability.
Proposition 4.2.2 [Strong law of large numbers] Let (fn )∞ n=1 be a

sequence of independent random variables with Efk = 0, k = 1, 2, . . . , and
c := supn Efn4 < ∞. Then
f1 + · · · + fn
→ 0 a.s.
n
Pn
Proof. Let Sn := k=1 fk . It holds
n
!4 n
E =E E
X X
Sn4 fk = fi fj fk fl
k=1 i,j,k,l,=1
n n
E Efk2Efl2,
X X
= fk4 + 3
k=1
k,l=1
k6=l
because for distinct {i, j, k, l} it holds
Efifj3 = Efifj2fk = Efifj fk fl = 0

by independence. For example, Efi fj3 = Efi Efj3 = 0 · Efj3 = 0, where one
gets that fj3 is integrable by E|fj |3 ≤ (E|fj |4 ) ≤ c . Moreover, by Jensen’s
3 3
4 4
inequality,
Efk2 ≤ Efk4 ≤ c.
2
66 CHAPTER 4. MODES OF CONVERGENCE
Hence Efk2fl2 = Efk2Efl2 ≤ c for k 6= l. Consequently,

ESn4 ≤ nc + 3n(n − 1)c ≤ 3cn2,
and ∞ ∞ ∞
S4 Sn4 X 3c
E E n4 ≤ n2 < ∞.
X X
n
=
n=1
n4 n=1 n=1
4
Sn Sn
This implies that n4
→ 0 a.s. and therefore n
→ 0 a.s.
There are several strong laws of large numbers with other, in particular
weaker, conditions. Another set of results related to almost sureP
convergence
comes from Kolmogorov’s 0-1-law. For example, we know that ∞ 1
n=1 n = ∞
P∞ (−1)n
but that n=1 n
converges. What happens, if we would choose the
signs +, − randomly, for example using independent random variables εn ,
n = 1, 2, . . . , with
P({ω : εn(ω) = 1}) = P({ω : εn(ω) = −1}) = 21

for n = 1, 2, . . . . This would correspond to the case that we choose + and −
according to coin-tossing with a fair coin. Put
( ∞
)
X εn (ω)
A := ω : converges . (4.1)
n=1
n
Kolmogorov’s 0-1-law will give us the surprising a-priori information that 1

or 0. By other tools one can check then that in fact P(A) = 1. To formulate
the Kolmogorov 0-1-law we need
Definition 4.2.3 [tail σ-algebra] Let fn : Ω → R be sequence of map-

pings. Then
Fn∞ = σ(fn , fn+1 , . . . ) := σ fk−1 (B) : k = n, n + 1, ..., B ∈ B(R)

and ∞
\
T := Fn∞ .
n=1
The σ-algebra T is called the tail-σ-algebra of the sequence (fn )∞

n=1 .
Proposition 4.2.4 [Kolmogorov’s 0-1-law] Let (fn )∞

n=1 be a sequence
of independent random variables. Then
P(A) ∈ {0, 1} for all A ∈ T .
Proof. See [5].

4.2. SOME APPLICATIONS 67
Example 4.2.5 Let us come back to the set A considered in Formula (4.1).
For all n ∈ {1, 2, ...} we have
( ∞
)
X εk (ω)
A= ω: converges ∈ Fn∞
k=n
k
so that A ∈ T .
We close with a fundamental example concerning the convergence in distri-

bution: the Central Limit Theorem (CLT). For this we need
Definition 4.2.6 Let (Ω, F, P) be a probability spaces. A sequence of

Independent random variables fn : Ω → R is called Identically Distributed
(i.i.d.) provided that the random variables fn have the same law, that means
P(fn ≤ λ) = P(fk ≤ λ)
for all n, k = 1, 2, ... and all λ ∈ R.
Let (Ω, F, P) be a probability space and (fn )∞ n=1 be a sequence of i.i.d. ran-
dom variables with Ef1 = 0 and Ef1 = σ . By the law of large numbers we
2 2
know
f1 + · · · + fn P
−→ 0.
n
Hence the law of the limit is the Dirac-measure δ0 . Is there a right scaling
factor c(n) such that
f1 + · · · + fn
→ g,
c(n)
where g is a non-degenerate random variable in the sense that Pg 6= δ0 ? And
in which sense does the convergence take place? The answer is the following
Proposition 4.2.7 [Central Limit Theorem] Let (fn )∞ n=1 be a sequence

of i.i.d. random variables with Ef1 = 0 and Ef1 = σ > 0. Then
2 2
Z x
P f1 + · · · + fn
√
σ n
≤x → √
1 u2
e− 2 du
2π −∞
for all x ∈ R as n → ∞, that means that
f1 + · · · + fn d
√ →g
σ n
P(g ≤ x) = u2
Rx
for any g with −∞
e− 2 du.
Index
λ-system, 25 existence of sets, which are not

lim inf n An , 15 Borel, 26
lim inf n ξn , 15 expectation of a random variable,
lim supn An , 15 41
lim supn ξn , 15 expected value, 41
π-system, 20 exponential distribution on R, 22
π-systems and uniqueness of mea- extended random variable, 52
sures, 20
π − λ-Theorem, 25 Fubini’s Theorem, 52, 54
Gaussian distribution on R, 22
σ-algebra, 8
σ-finite, 12
geometric distribution, 21
algebra, 8
Hölder’s inequality, 59
axiom of choice, 26
i.i.d. sequence, 67
Bayes’ formula, 17 independence of a family of events,
binomial distribution, 20 36
Borel σ-algebra, 11
Borel σ-algebra on Rn , 20
independence of a family of ran-
dom variables, 35
Carathéodory’s extension theorem, independence of a finite family of
19 random variables, 36
central limit theorem, 67 independence of a sequence of
Change of variables, 49 events, 15
Chebyshev’s inequality, 58 Jensen’s inequality, 58
closed set, 11
conditional probability, 16 Kolmogorov’s 0-1-law, 66
convergence almost surely, 63
convergence in Lp , 63 law of a random variable, 33
convergence in distribution, 63 Lebesgue integrable, 41
convergence in probability, 63 Lebesgue measure, 21, 22
convexity, 58 Lebesgue’s Theorem, 47
counting measure, 13 lemma of Borel-Cantelli, 17
lemma of Fatou, 15
Dirac measure, 12 lemma of Fatou for random vari-
distribution-function, 34 ables, 47
dominated convergence, 47
measurable map, 32
equivalence relation, 25 measurable space, 8
68
INDEX 69
measurable step-function, 29
measure, 12
measure space, 12
Minkowski’s inequality, 60
monotone class theorem, 52
monotone convergence, 45
open set, 11
Poisson distribution, 21
Poisson’s Theorem, 24
probability measure, 12
probability space, 12
product of probability spaces, 19
random variable, 30
Realization of independent random
variables, 38
step-function, 29
strong law of large numbers, 65
tail σ-algebra, 66
uniform distribution, 21
variance, 41
vector space, 51
weak law of large numbers, 64

70 INDEX
Bibliography
[1] H. Bauer. Probability theory. Walter de Gruyter, 1996.
[2] H. Bauer. Measure and integration theory. Walter de Gruyter, 2001.
[3] P. Billingsley. Probability and Measure. Wiley, 1995.
[4] A.N. Shiryaev. Probability. Springer, 1996.
[5] D. Williams. Probability with martingales. Cambridge University Press,

1991.
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An Introduction To Probability Theory - Geiss

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Christel Geiss and Stefan Geiss

February 19, 2004

Example. We would like to measure the temperature outside our home.

Intuitively, we get random numbers D1 , D2 , ... having a certain distribution.

Secondly, we take a function

Notation. Given a set Ω and subsets A, B ⊆ Ω, then the following notation

In this chapter we introduce the probability space, the fundamental notion

(1) The elementary events or states ω which are collected in a non-empty

Ω = {(H, H), (H, T ), (T, H), (T, T )}.

(c) For the lifetime of a bulb in hours we can choose

(2) A σ-algebra F, which is the system of observable subsets of Ω. Given

(b) ”Exactly one of two coins shows heads” is modeled by

A = {(H, T ), (T, H)}.

(3) A measure P, which gives a probability to any event A ⊆ Ω, that

For the formal mathematical approach we proceed in two steps: in a first

1.1 Definition of σ-algebras

Definition 1.1.1 [σ-algebra, algebra, measurable space] Let Ω be

(2) A ∈ F implies that Ac := Ω\A ∈ F,

The pair (Ω, F), where F is a σ-algebra on Ω, is called measurable space.

(30 ) A, B ∈ F implies that A ∪ B ∈ F,

then F is called an algebra.

Example 1.1.2 [σ-algebras]

(a) The largest σ-algebra on Ω: if F = 2Ω is the system of all subsets

(b) The smallest σ-algebra: F = {Ω, ∅}.

(c) If A ⊆ Ω, then F = {Ω, ∅, A, Ac } is a σ-algebra.

If Ω = {ω1 , ..., ωn }, then any algebra F on Ω is automatically a σ-algebra.

Example 1.1.3 [algebra, which is not a σ-algebra] Let G be the

A = (a1 , b1 ] ∪ (a2 , b2 ] ∪ · · · ∪ (an , bn ]

where −∞ ≤ a1 ≤ b1 ≤ · · · ≤ an ≤ bn ≤ ∞ with the convention that

Unfortunately, most of the important σ–algebras can not be constructed

Proposition 1.1.4 [intersection of σ-algebras is a σ-algebra] Let

for all j ∈ J. Consequently,

Proposition 1.1.5 [smallest σ-algebra containing a set-system]

J := {C is a σ–algebra on Ω such that G ⊆ C} .

According to Example 1.1.2 one has J 6= ∅, because

and 2Ω is a σ–algebra. Hence

yields to a σ-algebra according to Proposition 1.1.4 such that (by construc-

Definition 1.1.6 [open and closed sets]

(2) A subset B ⊆ R is called closed, if A := R\B is open.

Proposition 1.1.7 [Generation of the Borel σ-algebra on R] We

Definition 1.1.8 [Borel σ-algebra on R] The σ-algebra constructed in

Proof of Proposition 1.1.7. We only show that

σ(G0 ) = σ(G1 ) = σ(G3 ) = σ(G5 ).

Because of G3 ⊆ G0 one has

Moreover, for −∞ < a < b < ∞ one has that

so that G5 ⊆ σ(G3 ) and

which proves G0 ⊆ σ(G5 ) and

Finally, A ∈ G0 implies Ac ∈ G1 ⊆ σ(G1 ) and A ∈ σ(G1 ). Hence G0 ⊆ σ(G1 )

1.2 Probability measures

Definition 1.2.1 [probability measure, probability space] Let

The triplet (Ω, F, µ) is called measure space.

(2) A measure space (Ω, F, µ) or a measure µ is called σ-finite provided

(a) Ωk ∈ F for all k = 1, 2, ...,

The measure space (Ω, F, µ) or the measure µ are called finite if

(3) A measure space (Ω, F, µ) is called probability space and µ proba-

Example 1.2.2 [Dirac and counting measure]

(a) Dirac measure: For F = 2Ω and a fixed x0 ∈ Ω we let

(b) Counting measure: Let Ω := {ω1 , ..., ωN } and F = 2Ω . Then

Example 1.2.3 Assume there are n communication channels between the

Ω := {ω = (ε1 , ..., εn ) : εi ∈ {0, 1})

with the interpretation: εi = 0 if channel i is failing, εi = 1 if channel i is

We continue with some basic properties of a probability measure.